In a true out-of-sample test based on fresh data we find no evidence that several well-known technical trading strategies predict stock markets over the period of 1987 to 2011. Our test safeguards against sample selection bias, data mining, hindsight bias, and other usual biases that may affect...

This study investigates the impact of foreign investors on stock price efficiency and return predictability in emerging markets. It finds that stocks fully investible for foreign investors exhibit stronger price momentum than non-investible stocks. The difference in momentum effects between...

This study investigates the impact of short-sales constraints on liquidity for individual stocks in Hong Kong, as the Hong Kong Stock Market has a special feature such that, at each point of time, only a subset of stocks are allowed to be sold short, with the list of these stocks changing over...

We compare the European and Chinese shadow banking systems. While the European shadow banking system is better developed than the Chinese shadow banking system, herd behavior and other factors in European markets create systemic risk, which contributed in part to the financial crisis. Dispersion...

We show that results in the recent strand of the literature that tries to explain stock returns by weather induced mood shifts of investors might be data-driven inference. More specifically, we consider two recent studies (Kamstra, Kramer and Levi, 2003a and Cao and Wei, 2004) that claim that a...

This report analyzes the timber-auction system introduced in Russia in 1997, focusing on the Murmansk region. The Russian auction system is strongly inspired by the North American practice but many preconditions for the system to function efficiently are absent. The main obstacles are the...

We find that changes in oil prices strongly predict future stock market returns in many countries in the world. In our thirty year sample of monthly data for developed stock markets, we find statistically significant predictability in 12 out of the 18 countries and in a world market index. For...

We empirically analyze rational investors' optimal response to asset price bubbles. We define bubbles as a sudden acceleration of price growth beyond the growth in fundamental value given by an asset pricing model. Our new bubble detection method requires only a limited time-series of historical...

We investigate two alternative explanations why men may hold more stocks than women do. Apart from the traditional explanation of a gender difference in risk aversion, gender differences in either optimism or in perceived risk of financial markets might cause men to hold riskier assets. Our...