We survey recent research in accounting anomalies and fundamental analysis. We use
forecasting of future earnings and returns as our organizing framework and suggest a …

This comprehensive research study aims to highlight the evolution of momentum investing
research and identify the mature and emerging themes in momentum investing. This study …

We study the after-trading-cost performance of anomalies and the effectiveness of
transaction cost mitigation techniques. Introducing a buy/hold spread, with more stringent …

We study the out‐of‐sample and post‐publication return predictability of 97 variables shown
to predict cross‐sectional stock returns. Portfolio returns are 26% lower out‐of‐sample and …

We find consistent value and momentum return premia across eight diverse markets and
asset classes, and a strong common factor structure among their returns. Value and …

The aggregate portfolio of actively managed US equity mutual funds is close to the market
portfolio, but the high costs of active management show up intact as lower returns to …

The variance risk premium, defined as the difference between the actual and risk-neutral
expectations of the forward aggregate market variation, helps predict future market returns …

Momentum in individual stock returns relates to momentum in factor returns. Most factors are
positively autocorrelated: the average factor earns a monthly return of six basis points …

We examine whether the recent regime of increased liquidity and trading activity is
associated with attenuation of prominent equity return anomalies due to increased arbitrage …

We provide a broad empirical investigation of momentum strategies in the foreign exchange
market. We find a significant cross-sectional spread in excess returns of up to 10% per …