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What Factors Drive Global Stock Returns?
Using monthly returns for over 27,000 stocks from 49 countries over a three-decade period, we show that a multifactor model that includes factor-mimicking portfolios based on momentum and cashExpand
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Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea
We investigate whether domestic investors have an edge over foreign investors in trading domestic stocks. Using Korean data, we show that foreign money managers pay more than domestic money managersExpand
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Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997
This paper examines the impact of foreign investors on stock returns in Korea from November 30, 1996, to the end of 1997 using trade data. We find strong evidence of positive feedback trading andExpand
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Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets
This paper re-examines the efficiency of foreign currency futures markets by evaluating the role of time-varying risk premia and volatility in explaining technical trading rule profits. The resultsExpand
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Do Domestic Investors Have More Valuable Information About Individual Stocks than Foreign Investors?
Using trade data from Korea from December 1996 to November 1998, we find evidence that domestic individual investors have a short-lived private information advantage for individual stocks overExpand
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Financial Globalization, Governance, and the Evolution of the Home Bias
Despite the disappearance of formal barriers to international investment across countries, we find that the average home bias of U.S. investors towards the 46 countries with the largest equityExpand
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The Impact of Day-Trading on Volatility and Liquidity
We examine day-trading activities for 540 stocks traded on the Korea Stock Exchange using transactions data for the period from 1999 to 2000. Our cross-sectional analysis reveals that day-tradersExpand
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Momentum Strategies: Some Bootstrap Tests
This study introduces a new estimation-based bootstrap simulation procedure to test whether different returns-generating models can explain the profitability of momentum strategies first documentedExpand
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Does the Accrual Anomaly Reflect a Risk Factor? The Case of the Korean Stock Market *
This paper examines whether the accrual anomaly exists in Korean stock markets as in the U.S., and tests whether the accrual anomaly is associated with a potential risk factor that can be included inExpand
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Does National Pension Service's Trading Destabilize Korean Stock Market *
1) This paper examines the impact of trading by the National Pension Service (NPS) on the Korean stock market. As of the end of September 2007, the NPS had invested more than 215 trillion won in theExpand