Using long-standing models for expected returns of US equities, we show that firm environmental ratings interact with those forecasted returns and produce excess returns both unconditionally and conditionally. Well-known factor models subsume neither environmental-related return differentials...

Comparing Japanese and U.S. securities markets, the paper shows that survivor bias affecting quantitative analysis is relatively minor in Japan and substantial in the U.S. The paper suggests that the constraint levels and estimation procedures that did best in both countries in the past will do...

The authors examine the negative relation of traditional accruals and % accruals with future returns in the Greek stock market. Positive abnormal returns from hedge portfolios on both accrual measures summarize the economic significance of this negative relation. The magnitude of returns...