The main objective of this research is to analyze whether the momentum effect (Jegadeesh, 1990) and the long-term reverse effect (DeBondt and Thaler, 1985) are observed at the Mexican Stock Exchange, their magnitude, and their significance. These anomalies challenge the efficient market...

Using a large dataset of news releases, we study instances of investors' mistaken reaction, or misreaction, to news. We define misreaction as stock prices moving in the direction opposite to the news when it is released. We find that news tone predicts returns in the cross-section only upon the...

We find that the market variance risk premium (VRP) beta (exposure to the market variance risk), size, and idiosyncratic volatility jointly explain the cross-sectional VRPs. We construct novel VRP common factors related to these three characteristics. In regressions of the VRPs of 25 size and...

Prior return effect – momentum and contrarian, is a well documented phenomenon in developed stock markets. This paper examines if there is any prior return effect in Indian stock market, an advanced emerging market in the world. We use daily price data available for stocks forming part of S&P...

In the paper, we show a significant economic linkage between analyst EPS forecast skewness and cross section stock returns. The effect on stock return of our skewness measure is quite different from that based on skewness calculated from options or high frequency data. Literature shows that,...

Aggregate dividend growth is widely thought to be unpredictable by the dividend price ratio. I show that this lack of predictability is related to the measurement of dividends. If M&A cash flows are taken into account, the adjusted R2 from a regression of dividend growth on the dividend price...

We investigate the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index and show that stocks in the lowest uncertainty beta decile generate 6% more annualized risk-adjusted return...

Using daily data of the S&P 500 index from 1950 to 2015, we investigate the relation between return and transaction volume in the statistical distribution tails associated with booms and crashes in the US stock market. We use extreme value theory (peaks-over-threshold method) to study the...

Changes in stock returns arise from changes in expected future cash flow growth and expected future discount rates. However, which variables proxy for those changes remains unknown. This paper considers twenty-five variables that are arranged into five groups and examines both in-sample...

We investigate the relative ability of two measures of the market implied cost of capital to predict aggregate equity market returns. One is Aggregate ICC, which is a weighted average of individual firms' ICC's. The other is ICC calculated using index information (Index ICC). Index ICC predicts...