We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

La volatilité des actions françaises montre une forte instabilité depuis 150 ans. Très faible avant la Première Guerre mondiale, elle augmente de façon continue durant l'entre-deux-guerres. Malgré la paix et la stabilité économique, la volatilité n'a jamais retrouvé ses niveaux...

Using a novel dataset where all traders are identifiable, we examine trading in the shares of a major company on the London Stock Exchange before 1920. Our main finding is that bid-ask spreads increased in the presence of informed trades. However, we also find that spreads narrowed during...

For almost a century, we document a significant January effect on the French equity market. We find strong evidences in favor of the tax-loss selling explanation for this phenomenon. Indeed, the January effect was insignificant before the introduction of a “confiscatory tax” on capital gains...

This chapter presents historical evidence about Swedish stock prices, dividends, and yields on government fixed-interest securities. Monthly returns are presented since 1901 for stocks, since 1874 for government long-term bonds and since 1856 for short-term Treasury bills or central bank...

We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the...

We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the...

This paper documents a negative relationship between options trading volume and stock returns. The relationship is remarkably robust and cannot be explained by existing asset-pricing theorems. We find that strategies that require buying stocks with low options trading volume in the past and...

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond returns and bond credit spread changes. The...