This paper studies the relation between 36 firm-level characteristics and stock returns in 48 countries using instrumented principal components analysis (IPCA). A non-U.S. country-neutral conditional factor model performs well in describing risk and returns and generates small and statistically...

This paper studies how upstreamness and downstreamness affect industry returns in global value chains. Up- and downstreamness measure the average distance from final consumption and primary inputs, respectively, and are computed from world input-output tables. We show that downstreamness is a...

This paper compares the performance of three enhanced momentum strategies proposed in the literature — idiosyncratic momentum, constant volatility-scaled momentum, and dynamic-scaled momentum. Using data for individual stocks from the U.S. and across 48 international countries, we find that...

This paper examines how the anchoring effect causes investor underreaction to global firm-specific news. Using a high-frequency methodology to identify news events for stocks in 23 developed countries from 2004 to 2021, the results show that investors tend to hold on to their initial beliefs...