• Publications
  • Influence
Time Series Momentum
We document significant ‘‘time series momentum’’ in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12Expand
  • 922
  • 126
  • PDF
Home Bias at Home: Local Equity Preference in Domestic Portfolios
The strong bias in favor of domestic securities is a well-documented characteristic of international investment portfolios, yet we show that the preference for investing close to home also applies toExpand
  • 1,760
  • 124
  • PDF
Do Industries Explain Momentum
This paper documents a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly. Specifically, momentum investmentExpand
  • 1,365
  • 116
  • PDF
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its price responds to information. The most delayed firms command a large return premiumExpand
  • 665
  • 101
  • PDF
Predicting stock price movements from past returns: the role of consistency and tax-loss selling
The consistency of positive past returns and tax-loss selling significantly affects the relation between past returns and the cross-section of expected returns. Analysis of these additional effectsExpand
  • 422
  • 30
  • PDF
Testing Agency Theory with Entrepreneur Effort and Wealth
We develop a principal-agent model in an entrepreneurial setting and test the model's predictions using unique data on entrepreneurial effort and wealth in privately held firms. Accounting forExpand
  • 256
  • 27
  • PDF
Confronting Information Asymmetries: Evidence from Real Estate Markets
This paper studies the role of asymmetric information in commercial real estate markets in the U.S. We propose a novel and exogenous measure of information based on the quality of property taxExpand
  • 251
  • 18
  • PDF
The Role of Shorting, Firm Size, and Time on Market Anomalies
We examine the role of shorting, firm size, and time on the profitability of size, value, and momentum strategies. We find that long positions make up almost all of size, 60% of value, and half ofExpand
  • 158
  • 15
  • PDF
Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition
Using a unique sample of commercial loans and mergers between large banks, we provide microlevel (within-county) evidence linking credit conditions to economic development and find a spillover effectExpand
  • 159
  • 15
  • PDF