The purpose of this paper is to review the evidence on the profitability of technical analysis.
The empirical literature is categorized into two groups,'early'and 'modern'studies, according …

Beginning with Banz (1981), I review 30years of research on the size effect in equity returns.
Since Fama and French (1992), there has been a vigorous, ongoing debate on whether the …

Investors have too often extrapolated from recent experience. In the 1950s, who but the most
rampant optimist would have dreamt that over the next fifty years the real return on equities …

The efficient market hypothesis gives rise to forecasting tests that mirror those adopted when
testing the optimality of a forecast in the context of a given information set. However, there …

Every year, usually in the month May, the European financial press refers to a—presumably—
old and inherited market saying:“Sell in May and go away.” 1 According to this saying, the …

This book shows how current and recent market prices convey information about the
probability distributions that govern future prices. Moving beyond purely theoretical models …

This study examines evidence of instability in models of ex post predictable components in
stock returns related to structural breaks in the coefficients of state variables such as the …

This study compares the performance of four popular factor pricing models—the capital
asset-pricing model (Sharpe, 1964), the three-factor model of Fama and French (1993), the …

This study examines several well-known stock market anomalies before and after they were
published. If the anomalies are a result of data snooping or data crunching, these are …

The size premium for smaller companies is one of the best-known academic market
anomalies. The relevant issue for investors is whether size premium for small-cap stocks is …