This paper investigates the joint determination of two dimensions of a security: trading volume and return. In much of the existing literature, volume is modeled as being exogenously related to security returns. Our analysis evaluates the extent to which trading activity also depends on security...

This paper provides a comprehensive statistical and economic evidence on the forecasting power of local-currency equity and bond returns in predicting exchange rate returns. We first construct out-of-sample (OOS) forecasts using various model specifications of equity and bond returns, and assess...

We provide an in-depth analysis of the predictive ability of models with fundamentals and technical indicators for fourteen emerging market currencies. Our findings suggest that the forecasts from the symmetric Taylor rule as well as from a predictive regression exploiting the informational...

This study examines if mutual fund flow information can be exploited as a predictor for future fund performance, and if an economically profitable trading strategy can be executed. My central finding is that investors can improve their fund selection ability and beat the market conditional on...

We use an instrumental variables (IV) approach to examine the effects of dynamic endogeneity when estimating the relationship between mutual fund flows and performance. Unlike the one-stage estimation approach commonly used in prior research, the IV approach allows us to address reverse...

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

This paper examines whether liquidity or credit quality (probability of default) “contributes” more to the explanation of currency excess returns, using two baskets of bilateral exchange rates – developed and emerging countries. My central finding is that U.S. investors generally care only...

We examine whether sensitivities to cash flow (CF) and discount rate (DR) risk in down markets provide an explanation for the investment effect, where low-investment stocks earn higher expected returns than high-investment stocks. We show how productivity and financing constraints asymmetrically...

In this Appendix, we present the results of four supplementary robustness checks including controlling for various macro risks (Appendix A), different time periods (Appendix B), a different method of forecast construction (Appendix C), and different trading strategy (Appendix D)

This study examines if mutual fund flow information can be exploited as a predictor for future fund performance, and if an economically profitable trading strategy can be executed. My central finding is that investors can improve their fund selection ability and beat the market conditional on...