I study the market for lending and borrowing securities in the United States. I find that by making securities available for borrowing, mutual funds acquire information about short selling, which they exploit for trading. Funds with discretion in their investment choices rebalance their...

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...

This study presents international evidence on the dividend month premium. In the US, Hartzmark and Solomon (2013) find abnormally high returns during the months when stocks are predicted to pay a dividend. We test for this predicted dividend month premium in eleven developed markets, including...

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...

Investors often focus their attention on recent information only, underestimating the rele-vance of information from the distant past. In consequence, the ordering of historical re-turns robustly predicts future stock performance in the cross-section. Using data from 49 countries, we...

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

I find that short interest significantly and negatively predicts aggregate stock returns in 24 out of 32 countries examined. This predictability survives out-of-sample tests, persists outside recessions, and is not subsumed by other well-known return predictors. The results indicate that short...

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...