A number of theories have linked price momentum with price reversals. While significant
empirical evidence has shown the presence of momentum in global equity returns, there have …

We use traded options on growth and value indices to test for clientele differences in risk
preferences. Value investors appear to have exhibited a higher average level of risk aversion …

We study the returns of stocks from twenty-one frontier markets divided into the four regions
of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking …

What do investor utility functions look like? We show how returns on a stock and prices of
call options written on that stock can be used jointly to recover utility of wealth function of the …

In this paper we study priming of identity within the context of inherent vs. contextual financial
decision making. We use a sample of individual trading accounts in equity-style funds …

Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields
significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991…

We study the relationship between the risk preferences of individuals and the risk preferences
of the aggregate economy. To emphasize the vast differences that can occur between …

We examine world stock market comovement for 23 countries over 30-years from 1981 to
2010--a period that includes major changes in international trade institutions, capital market …

This paper provides global evidence supporting the hypothesis that expected return models
are enhanced by the inclusion of variables that describe the evolution of book-to-market—…

The continental lithosphere contains the oldest and most stable structures on Earth, where
fragments of ancient material have eluded destruction by tectonic and surface processes …