-to-market, momentum, short-term reversal, volatility, or option market factors …

quarterly lags continue to earn high returns in the future. A long-short portfolio based on seasonal momentum achieves an …

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences … persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum … institutional ownership data together to measure the "crowdedness" of momentum, I show that momentum crashes can be avoided in the …

Consistent with the hypothesis that momentum profits are attributable to the cross-sectional dispersion in expected … returns, Bulkley and Nawosah (2009) report that momentum is nonexistent in demeaned returns. Motivated by their work, I … examine whether absence of momentum in demeaned returns is robust to methodological adjustments that mitigate microstructure …

This study examines pricing implications of size, value, illiquidity and momentum effects in Malaysian stock returns …) poorly performs in explaining average stock returns. An asset’s exposure to size, value, momentum, and illiquidity … characteristics subordinates CAPM’s explanatory power. Momentum trading strategy is profitable in short to intermediate horizons, yet …

properties for detecting bubbles. Empirical analysis using price-dividend ratios of S&P500 highlights the advantages of our …

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural … tandem with their fundamentals. We therefore find no evidence in favor of stock price bubbles in all the countries invested …