This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

The main objective of this research is to analyze whether the momentum effect (Jegadeesh, 1990) and the long-term reverse effect (DeBondt and Thaler, 1985) are observed at the Mexican Stock Exchange, their magnitude, and their significance. These anomalies challenge the efficient market...

Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quants are associated with more efficient analyst forecasting behavior on anomaly predictors...

In this study we use a comprehensive database of mutual funds and study performance persistence across different styles, regions, and asset classes. While we find strong evidence of performance persistence for some markets, there is weak or no evidence for other markets. Contrary to popular...

Whether higher idiosyncratic return volatility means more or less informative stock prices is an ongoing debate. All the existing literature relies on cross-sectional evidence, which makes it hard to isolate the effects of price informativeness on idiosyncratic volatility from other effects. I...

The market for structured products in Germany and Switzerland experienced a decade of rapid growth before the financial crisis. When Lehman bank failed, however, it became apparent that many private investors had not been aware of the risks involved in these instruments. There is evidence that...

The market for structured products in Germany and Switzerland experienced a decade of rapid growth before the financial crisis. When Lehman Brothers went bankrupt, however, it became apparent that many private investors had not been aware of the risks involved in these certificates. There is...

We provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms...

Theoretical models imply fund size and performance should be negatively linked. However, empiricists have failed to uncover consistent support for this negative relation. Using a new econometric framework which includes fund-specific sensitivities to decreasing returns to scale, we find a both...