This paper finds strong evidence of predictability in Brady bonds, the most liquid emerging debt market, by implementing a new model for credit spreads. Predictability is economically and statistically significant and robust to various considerations. Active management provides US investors in...

This paper investigates the question whether individual stock momentum in Europe is subsumed by country or industry momentum. We introduce a portfolio-based regression approach, which directly allows to test hypotheses about the existence and relative importance of multiple effects (e.g.,...

We examine the informational role of the interaction between past returns and past trading volume in the prediction of cross-sectional returns over intermediate horizons in China's stock market. Our results show that low-volume stocks outperform high-volume stocks, volume discounts are more...

In this paper, we examine the profitability of intermediate- and long-horizon relative strength strategies (buying past winners and selling past losers) over the July 1994 - December 2000 interval in China's stock market. We find a negative average return to relative strength strategy over a...

We empirically examine stock price index data for eight developed and ten emerging markets from 1970 to 1997. There were nine stock market crises over our sample period, three each in the developed stock markets, the Asian stock markets and the Latin American stock markets. We find important...

As expiration dates for Nifty stock index futures approach, trading volume in calendar spreads rises at times to over 50% of total daily volume, making this transaction particularly important to execute efficiently for investors rolling over sizable positions into deferred month contracts. In...

Prior empirical evidence regarding the impact of dividend taxes, corporate taxes, and corporate governance on firm valuation is inconclusive. This study avoids some of the complications encountered in previous empirical work by exploiting institutional characteristics of REITs, such as their...

The FIFA World Cup™ is not only one of the most popular sporting events in the world: it is also famous for the extraordinary amount of sponsorship fees it attracts. To make sense economically, these sponsorship expenses should promise future cash flows that would make the investment...

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in familiar foreign markets. These findings imply that investors do not...

Traditional portfolio theory predicts that investors' portfolios should be diversified across international markets. In contrast, empirical studies document that investors are more likely to invest in their home country and in familiar foreign markets. These findings imply that investors do not...