We propose a new investment strategy, the improved cross-asset time-series momentum (I-XTSM) strategy, to improve investment performance. Using data on 25 investment portfolios and common commodities for the period from January 1990 to April 2021, we find that the I-XTSM strategy increases...

We assess whether observable corporate political strategies can serve as channels of value-relevant political information flow into stock prices and form the basis for profitable return predictability strategies. We document that returns of politically connected firms' stocks lead those of their...

We document sizable and robust excess return comovement between migration-flow receiving and sending states at both the individual stock and state-portfolio levels. Migration comovement is not fully explained by economic fundamentals and strengthens with the size of the migration network....