We find no evidence of monthly return reversals for the top quintile of small- and large-cap stocks ranked by turnover. Indeed, stocks in the top decile of turnover display short-term momentum. We argue these findings arise from a combination of effects. First, short-term reversals stem from...

We study stock market reactions to the release of movies re-exposing past publicly known corporate scandals. Using a sample of 54 event firms featured in 23 movies, we find event firms have significantly negative and persistent abnormal returns to movie releases. We posit that such negative...

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross-sectional variation driven by maturity and credit rating. Other things being equal, longer maturity bonds have lower skewness, and lower coskewness with respect to the bond market...

Uncovered interest rate parity, together with long-run relative purchase power parity, implies that the real exchange rate has predictive power for real bond return differentials. We show this implication to be at odds with the data. Hence, we provide new (indirect) evidence of time-varying...