This paper provides significant extensions and tests of momentum trading strategies based on relative prices that were first explored by George and Hwang (2004). We develop new momentum strategies based on the ratio of the current stock price to each of five different reference points in past...

The arithmetic mean-variance efficient frontier shows that taking more risk is always rewarded with higher expected arithmetic return. However, expected arithmetic return is a poor indicator of long-term arithmetic return, which corresponds to expected continuous return. For the continuous...

The arithmetic mean-variance frontier shows that taking more risk is always rewarded with higher expected arithmetic return. This article shows that there is a danger from being too aggressive that is not reflected in the arithmetic return mean-variance frontier because expected arithmetic...

U. S. firms have increased their use of share repurchases to distribute cash to shareholders since 1973, although the record is not uniform across industries and firm sizes. We utilize three measures of payout, and find that high payout portfolios significantly outperform low payout portfolios...