I investigate the profitability and investment premium in stock returns using hand-collected data from Moody's Manuals for 1940-1963. Controlling for value, the profitability premium emerges as important in this period. In contrast, there no reliable relation between investment and returns,...

We examine active retail mutual funds and institutional products with a mandate to invest ininternational equity markets between 1991 and 2009. Using global and regional factor models,we find no reliable evidence of alphas in the aggregate or on average. The right tail of thedistribution...