stocks. While long-short (zero initial outlay) portfolios based on this signal usually make a profit on average, it is rarely …

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 …

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

back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns …. We show that long-run profit persistence together with other additional economic firm fundamentals have a significant …

influences the profitability of the original 52-week high momentum strategy. Design/methodology/approach: This paper decomposes … employ a portfolio approach and Fama-MacBeth regression analysis to investigate the profitability of each proposed momentum … original 52-week high measure can increases (decreases) the momentum profit, implying that the updating component dominates the …

This paper investigates whether profitability skewness is related to expected stock return. We document significant … evidence that profitability skewness positively predicts cross-sectional stock returns, opposite to the negative relation … between return skewness and stock returns.The positive return predictability is robust to alternative proxies of profitability …

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 …

We provide a new explanation for the profitability anomaly along with a battery of supportive empirical tests. Our … profitability and future stock returns, and the relation is stronger in firms with higher growth. The relation arises because less …