We find that the acceleration and deceleration patterns of historical prices are predictive of future expected returns in momentum investing in the U.S. equity market from 1962 to 2014. Winners with accelerated historical price increases deliver higher future expected returns and losers with...

Previous studies have focused on which stocks are winners or losers but have paid little attention to the formation process of past returns. This paper develops a model showing that past returns and the formation process of past returns have a joint effect on future expected returns. The...

This study examines the interactions between trading strategies based on the nearness to the 52-week high, the nearness to the 52-week low, and past returns. We offer evidence that the nearness to the 52-week low has predictive power for future average returns. Our results also reveal that the...

This paper examines the influence of fund flow on fund performance in US domestic equity funds from 1993 to 2008. We find that fund flow has an asymmetric influence on fund performance. Inflow will significantly push up simultaneous fund performance, whereas outflow does not significantly result...

Firms with lower levels of disclosure hold more private information and thereby generate undiversified risk. This paper investigates the effect of discretionary disclosure of customer identities on average stock returns. Using a data set of firms' principal customers, we find a negative...

This study examines whether world trade uncertainty affects future stock returns. The greater the past returns of a company are positively related to world trade uncertainty, the higher would be its future returns. Buying firms whose past returns are more positively related to world trade...