Returns to both traditional and risk-managed momentum strategies are non-normal, reducing the efficacy of the Sharpe ratio as an evaluation tool. To account for the higher moments of the return distribution, we evaluate momentum using the framework of myopic loss aversion. Under this framework,...

Momentum strategies generate significant positive returns over long investment horizons; however these strategies experience infrequent periods of large negative returns. These periods are known as 'momentum crashes'. We demonstrate that the probability of a momentum crash is time-varying,...

Trend extrapolation in financial markets has been well documented, however it is contentious as to which trends will be extrapolated or mean reverted. We examine whether investors are more likely to extrapolate trends that they perceive to be salient by examining an investment strategy that...

We provide robust evidence of momentum crashes within the Asian region, which occurred following the Asian financial crisis and the global financial crisis. The probability of a momentum crash is time-varying; it increases after periods of low market returns and high cross-sectional return...

Evidence of a negative relationship between extreme positive returns and future returns has been reported in developed markets; a result that has been attributed to mispricing (Bali, Cakici, & Whitelaw, 2011; Zhong & Gray, 2016). This study examines this MAX anomaly across advanced emerging markets,...

The paucity of rights issues in the US and the effect of the imputation tax system on share issuance in Australia allow us to examine the drivers of seasoned equity offerings (SEOs) in a unique setting. This paper provides a comprehensive examination of the factors (information asymmetry, demand...

Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, only a few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the...

The level of firm investment, along with firm profitability, has been shown to be empirically powerful asset pricing factors in the US and other markets. The q-factor model of Hou, Xue, and Zhang (2014), and the 5-factor model of Fama and French (2014a), both rely on factors capturing the...

Although few doubt that good internal governance helps firms perform better, the statistical evidence is actually mixed because the positive effects of good corporate governance matters much more so at some times than others. The statistical link is strongest during “flights to quality,”...

In Australia, unlike US and European jurisdictions, the Reserve Bank of Australia discloses its stance on monetary policy via two separate events: the announcement of a monthly target cash rate for overnight loans; and two weeks later, the release of the explanatory minutes of the Board meeting...