Time-series momentum (TSMOM) and moving average (MA) trading rules are closely related; however there are important differences. TSMOM signals occur at points that coincide with a MA direction change, whereas MA buy (sell) signals only require price to move above (below) a MA. Our empirical...

Frontier markets, which are countries that have not yet reached emerging market status, have been shown to provide diversification benefits for international investors. However, many stocks in these markets are thinly traded so liquidity is an important consideration. We investigate which...

Transaction costs in many international equity markets are reported as being much larger than those in the U.S. This raises questions such as what trade size these reported trading costs relate to and whether investors can reduce trading costs by timing their trades. We show, using data from the...

Brokers have access to order-flow data, which they can use to enhance the returns they earn from short selling. However, brokers also have a fiduciary duty to place their clients’ interests before their own. We test whether brokers exploit their informational advantage and earn larger returns...