This paper documents evidence of reversals in the long-term returns of international equity
markets. We use recent short-term performance to better select contrarian securities that …

This paper offers an alternative method for estimating expected returns. The proposed
reward beta approach performs well empirically and is based on asset pricing theory. The …

Dempsey (2013) highlights the empirical failure of the capital asset pricing model (CAPM). I
study the beta, value and momentum anomalies using industry returns, with particular …

Our understanding of the long-term return behavior and portfolio characteristics of public
infrastructure investments is limited by a relatively short history of empirical data. We re-…

Given that extreme industry returns may herald long-term structural changes in the industries
involved that may eventually lead to reversals in industry fortunes, we investigate the …

… The convexity of g implies g is differentiable almost everywhere. The distinction between …
of g in (2) implies that g is differentiable almost everywhere. For those returns for which g is …

Existing research shows that a strategy based on the 52-week high prices of individual
stocks explains momentum and is able to forecast returns. Given that the momentum strategy …

… The two-factor regression is as follows: R p , t − R f , t = a p + b w l d ( R w l d , t − R f , t ) + b
v m g V M G t + e t , where R wld,t is the market factor represented by the return on the MSCI …

… are larger than those of Project G. A firm may prefer Project F to Project G because the firm
will … proceeds or to reinvest in further projects sooner than Project G's cash flows would allow. …

We investigate the role of trading volume in predicting the magnitude and persistence of the
price momentum phenomenon in markets around the world. Using comprehensive data for …