Background: We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios. Methods: Following Lakonishok et al. (J Financ...

We employ an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign equity returns. We identify the fundamental determinants of foreign equity return and foreign currency loadings with respect to the world equity factor and global currency risk...

We propose idiosyncratic volatility based return spread as a new measure of the stock-level value of investor sophistication. We find that stocks with a high value of investor sophistication tend to have low average returns, and this effect is pronounced for highly short-sale constrained stocks....