High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. I find that high-frequency trading is positively...

The Brandes Institute recently revisited its Value vs. Glamour research, focusing on the relationship between the valuation difference in price-to-book ratios, and subsequent relative performance. The Institute discovered that, historically, when the difference in P/B ratios between value and...

The correlation of returns for various equity asset classes has been high. In addition, the range or "dispersion" of returns across asset classes - and across sectors within those asset classes - has been low. These factors have made it difficult for active managers to outperform. But dispersion...

Previous research describes the net share issuance anomaly in U.S. stocks as pervasive, both in size-based sorts and in cross-section regressions. As a further test of its pervasiveness, this paper undertakes an in-depth study of share issuance effects in the Australian equity market. The...

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate...

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate...

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate...

We propose a measure of dispersion in fund managers beliefs about future stock returns based on their active holdings, i.e., deviations from benchmarks. We fi nd that both the level of and the change in dispersion positively predict subsequent stock returns on a risk-adjusted basis. This effect...

We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying, buyers with excess liquidity, rather than what is being purchased. We document...

We examine the industry-level relation between the two dominant asset pricing anomalies, the continuation of past price movements (momentum) and the incomplete reaction to earnings news (post-earnings-announcement drift). With the former having long been established in REIT returns, and the...