Recent research shows that mood and attention may affect investors’ choices. In this paper
we examine whether companies can create such mood and attention effects through …

The potential to dynamically allocate across factors,“factor timing,” has been an area of
academic and practitioner research for decades. In this paper, we revisit the promises of factor …

This paper examines whether trading strategies based on short-term price reversals
following large one-day losses have economically significant returns. We directly incorporate …

Using fourteen years of history, the authors study the behavior of Russell 3000 constituents
on the last business day of May when benchmark composition is determined for the ensuing …

We argue that the recent changes in reconstitution procedures introduced by the Frank
Russell Company to ease the migration of affected constituents into and out of index-tracking …

Existing literature finds that equity return variances over trading periods substantially exceed
those over nontrading periods and suggests three potential explanations for the effect:(1) …

I show that the natural experiment approach utilized in the extant studies to control for public
information may not be appropriate to the extent that information arrival itself is a function of …

Firm-specific news, extended-hours trading and variances over trading and nontrading
periods. Existing literature finds that equity return variances over trading periods substantially …

This study investigates the relative merits of fund of hedge funds and multi-strategy approaches
and their implications for cost-effectiveness and portfolio optimality. We present evidence …