The Thomson VentureXpert database has been used for over two decades by practitioners and academics to benchmark and judge the performance of private equity and venture capital. A closer look at aggregated and individual figures, however, reveals severe anomalies in the underlying data which are...

Foreign stock ownership is known to be very limited across households. This paper studies the role of information acquisition on agents' decisions to invest in foreign stocks. Using the Survey of Consumer Finances, I show that foreign stock holders, when compared to those who hold only domestic...

We evaluate the performance of fixed income Exchange Traded Funds (ETFs). We find that Treasury ETFs are indeed able to track their benchmarks, but that Investment Grade corporate bond ETFs underperform their benchmarks and High Yield corporate bond ETFs even severely underperform their...

The terms of stock option contracts are adjusted in the event of unexpected corporate actions, and the nature of the adjustments may result in windfall gains or losses to open option positions. This paper evaluates the fairness of the two different procedures used for special cash dividends. We...

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...

We hypothesize and find that the value of active management depends on characteristics of markets and investors. Using unique data, we focus on the performance of actual passive and active equity positions of an important category of institutional investors (defined benefit pension plans) from...

This paper examines the relative performance of small-caps vs. large caps surrounding periods of peaks and troughs of economic activity, and reexamines the relationship between the small firm anomaly and the business cycle. Small-cap firms outperform large caps over the year subsequent to an...

The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from forex technical rules in major and emerging markets, the...

Fundamental indexing based on accounting valuation has drawn significant interest from academics and practitioners in recent times as an alternative to capitalisation weighted indexing based on market valuation. This paper investigates the claims of superiority of fundamental indexation strategy...

In 1994, Josef Lakonishok, Andrei Shleifer, and Robert Vishny published a landmark study investigating the performance of value stocks relative to glamour securities in the United States over a 26-year period. Their research concluded that value stocks tended to outperform glamour stocks by wide...