We show that the previously documented predictability of macroeconomic and technical variables for market returns is also evident in individual stock returns. Technical variables generate better predictability on firms with higher limits to arbitrage (smaller, illiquid, volatile firms), while...

We use firm characteristics to estimate the enduring momentum probabilities for past winners (losers) to continue to be future winners (losers). The enduring momentum probability is significantly related to stock return persistence and explains cross-sectional expected returns. In addition, it...

This study shows that 14 widely documented technical indicators explain cross-sectional stock expected returns. The technical indicators have lower estimation errors than the three-factor Fama-French model and the historical mean. The long-short portfolios based on the cross-sectional estimated...

This study shows that 14 widely documented technical indicators explain cross-sectional stock expected returns. The technical indicators have lower estimation errors than the three-factor Fama-French model and the historical mean. The long-short portfolios based on the cross-sectional estimated...

Monthly equity returns in countries with strong governance lead monthly equity returns in countries with weak governance. This predictability is robust to alternative ways of measuring country governance, and holds in and out-of-sample at both the group and individual country levels. Strong...

We consider the performance of stop-loss rules in international equity market allocation. Our results indicate that stop-loss rules, which involve closing positions that decline by a pre-specified percentage, are important determinants in the parametric portfolio policy. They generate portfolios...