three European exchanges in 2013: Xetra, Chi-X, and BATS. We show that a high-frequency trader can profit from lead …

This study provides theory and evidence to demonstrate how relative firm profitability within an industry affects stock …, and that (2) this inverse relation between relative profitability and return sensitivity is more pronounced when there is … the two fundamental factors that contribute to profitability – cost efficiency and market share – each exhibit an effect …

the four HXZ factors, namely size, profitability, and investment, cannot be explained by the five FF factors; (4) the best … profitability factor; (5) the maximum Sharpe ratio is achieved by investing about 5% in the market factor, 20% in the value factor …, and roughly the same percentage in the size and profitability factors. The findings are consistent in the three time …

In contrast to prior equity market results, we document that corporate bonds issued by low profitability firms … outperform bonds issued by highly profitable firms. This performance difference is primarily driven by low profitability, low … credit rating firms. This profitability premium is consistent with compensation for default risk and can be explained by …

We provide a novel framework and empirical results to understand the relation between profitability growth and returns …. By connecting a concave profit function to a standard valuation framework, we argue that if growth-rate risk carries a … positive risk premium, firms with higher current profitability growth should earn higher average returns but this effect should …

Firms with lower profitability have lower expected returns because such firms perform better than expected when market … with this hypothesis, the profitability anomaly is stronger for distressed and volatile firms, and aggregate volatility …

In this paper, after controlling for the level of R&D expenditures, I find that profitability of R&D intensive firms is …&D-to-market value variable becomes insignificant even when not controlling for the firm's profitability. Since quarterly profits are … lower not higher subsequent returns, once I control for the level of R&D expenditures and firm's profitability. The …

article, we perform a sensitivity analysis of the pairs trading profitability to its parametrization, employing the daily …