Value strategies purchase stocks that have high fundamental values relative to prices. The interpretation of why value strategies outperform is controversial. Based on the fact that investors may rely too heavily, or “anchor,” on one piece of information when making investment decisions,...

Firms with lower levels of disclosure hold more private information and thereby generate undiversified risk. This paper investigates the effect of discretionary disclosure of customer identities on average stock returns. Using a data set of firms' principal customers, we find a negative...

We study the effect of the government transition on firm performance and board composition of government-linked companies (GLCs) and explore the motivations of board restructuring of GLCs. Specifically, we examine two questions: (1) what is the motivation of board restructuring, and (2) whether...

We find that the acceleration and deceleration patterns of historical prices are predictive of future expected returns in momentum investing in the U.S. equity market from 1962 to 2014. Winners with accelerated historical price increases deliver higher future expected returns and losers with...

Previous studies have focused on which stocks are winners or losers but have paid little attention to the formation process of past returns. This paper develops a model showing that past returns and the formation process of past returns have a joint effect on future expected returns. The...