We study the effect of market cycles on both medium-run and long-run relative strength trading strategies. We find that the payoffs over both horizons tend to be relatively higher within a market state (rising or falling markets) but substantially lower when including transitions between states....

We re-examine contrarian relative-strength profits in one-month stock returns with a focus on: (1) the post-discovery vs.pre-discovery evidence, (2) size-based variation, and (3) time-series patterns. Over the last two decades since the initial documentation in the academic literature, profits...

In this article I provide new evidence on the role of nonlinear drift and stochastic volatility in interest rate modeling. I compare various model specifications for the short-term interest rate using the data from five countries. I find that modeling the stochastic volatility in the short rate...

We document that the fundamental strength (FSCORE) of a firm exerts a significant influence on the performance of short-term reversal strategies. Past losers with strong fundamentals significantly outperform past winners with weak fundamentals. Our FSCORE approach is complementary to Da et al....

We study the portfolio performance of investment strategies that jointly apply both fundamental analysis and technical analysis. Compared with strategies that rely on one-dimensional fundamental or technical information, the integrated approach to fundamental and technical investing...

When stocks are trading near their 52-week high, investors tend to have low expectation about their future returns. We contrast such expectations against firms' fundamental strength. For firms with strong fundamentals, we confirm that investors' expectations are too low, which is consistent with...

For S&P 100 stocks, we find that the weekly returns over option-expiration (OE) weeks (a month's third-Friday week) tend to be high, relative to: (1) the third-Friday weekly returns of other stocks with less option activity, (2) the own stock's other weekly returns, (3) the risk, based on...

DeMiguel, Garlappi, and Uppal (DGU, 2009) evaluate 14 models of optimal asset allocation and find that none can consistently outperform the 1/N naive diversification strategy, which highlights estimation-risk concerns. Building from Stevens (1998), we provide a useful dichotomous classification...

We show that price anchors have a role in understanding short-run reversals in one-month stock returns, in conjunction with the well-known liquidity-provision channel. Specifically, we find that one-month reversal strategies perform much better for stocks that have: (1) a low price, relative to...

Prior literature on security class-action lawsuits generally treats the lawsuit filing day as the day when the event become public, in terms of evaluating event-study returns and informed shorting activity. However, in the days prior to the lawsuit filing, our investigation reveals that there...