In 1994, Josef Lakonishok, Andrei Shleifer, and Robert Vishny published a landmark study investigating the performance of value stocks relative to glamour securities in the United States over a 26-year period. Their research concluded that value stocks tended to outperform glamour stocks by wide...

In this paper, we find that price and earnings momentum are pervasive features of international equity markets even when controlling for data-snooping biases. For Europe, we show price momentum to be subsumed by earnings momentum on an aggregate level. However, this rationale can hardly be...

We show that the impact of foreign investors' portfolio flows on the domestic equity market depends crucially on the costs and ease of access to trading domestic securities. We examine all foreign portfolio flows in two long sub-samples where trading costs and market access are substantially...

We examine the F score in global emerging markets and show there is a meaningful premium attached to high F score stocks which is unrelated to the size, value and momentum premiums. It is larger for high value stocks, moderately higher for high momentum stocks and unrelated to stock size. This...

Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different...

We first develop a theory-based metric to judge the popularity of value-weighting in a stock market. We then use our metric to document that although value-weighting is less popular in emerging markets than in developed markets, its popularity is increasing almost everywhere. Finally, as we have...

This thesis investigates value and momentum effects in the U.S. market after the recent financial crisis as well as for other periods. Many researchers contend that market anomalies exist in the two popular forms, value and momentum effects, and have studied where abnormal profits arise. Not...

Many commentators have argued that if the Federal Reserve had followed a stricter monetary policy earlier this decade when the housing bubble was forming, and if Congress had not deregulated banking but had imposed tighter financial standards, the housing boom and bust - and the subsequent...

We analyze the history of the equity risk premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to March 2009. The risk premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield. The last two surveys were conducted...

This paper investigates the role of the intensity and relevance of ESG materiality in equity returns. Adopting the classifications of materiality provided by the Sustainability Accounting Standards Board (SASB), the paper introduces the concept of the financial relevance and financial intensity...