In this study, we examine how idiosyncratic risk is correlated with a wide array of anomalies, including asset growth, book-to-market, investment-to-assets, momentum, net stock issues, size, and total accruals, in international equity markets. We use zero-cost trading strategy and multifactor...

In this study, we show that accrual abnormal returns are positively correlated to idiosyncratic risk in international equity markets. In addition, we find that idiosyncratic risk has less impact on accrual abnormal returns for developed countries than emerging countries. Our results are robust...

This study examines the performance of socially responsible mutual funds from 1999 to 2009. To minimize the benchmark error, we apply propensity-score-matching method to identify a most comparable conventional fund for every socially responsible fund based on several key fund characteristics. We...

US dairy futures markets of milk, butter, cheese, and dry whey exhibit unique volatility patterns under the Federal Milk Marketing Order pricing scheme. We show dairy volatilities have a relatively low connectedness among themselves and a commodity index. Dairy futures markets respond to...

We study the differences in hiring between White and minority managers in mutual fund industry over the past 30 years. While our results demonstrate a significant improvement in racial diversity over time, minorities still face higher barriers to entry. Our results indicate that a higher...