Several studies report that abnormal returns associated with short-term reversal investment
strategies diminish once trading costs are taken into account. We show that the impact of …

We are the first to investigate the cross-section of stock returns in the new emerging equity
markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set …

In this paper, we revisit the question whether the Fama-French factors are manifestation of
distress risk premiums. To this end, we develop new tests specifically aimed at dissecting the …

In this study we confirm the existence of sizable momentum, carry and low-volatility factor
premiums in the commodity market, and argue that investors should consider these commodity …

This study examines novel momentum strategies in commodities futures markets that incorporate
term-structure information. We show that momentum strategies that invest in contracts …

We investigate asset manager characteristics that influence ESG voting patterns using a
decade of voting data with more than 20 million observations. Asset managers predominantly …

Public option market information contains exploitable information for equity investors for an
investable universe of liquid large-cap stocks. Strategies based on several option measures …

One of the biggest investment trends over the past decades has been the shift from active to
passive investing. The idea behind passive investing is that active management is a zero-…

RATIONALE AND OBJECTIVES: The objectives of this article are: To explore the impact of
the Radiological Society of North America–sponsored “Teach the Teachers” training course …

We present an asset allocation framework for pension funds in which they can take pension
liability risk and uncertainty about future expected asset returns explicitly into account. This …