We examine return behavior following large price change events. Unconditional post-event
abnormal returns are found to be unimportant. As we condition on other criteria related to the …

… Panels A, B, and C are the results of the M×N momentum portfolio with the M-month ranking
period and the N-month holding period skipping a month after the ranking period, where M …

The existing literature reports insignificant `total' exposure for multinational or exporting firms,
where total exposure incorporates both firm-specific and macroeconomic effects. We …

We examine size and momentum effects based on country index returns for a universe of
emerging and frontier market countries. We find that small countries outperform large countries …

This article examines the question facing taxable investors: How much of the equity portfolio
should be invested in a tax-managed core portfolio versus active satellite managers? …

… A key contribution of this article by Pritamani, Shome, and Singal is to identify the importance
of a holistic approach to foreign exchange rate exposure—one that takes account of …

Abstract Changes in exchange rates are expected to affect the competitiveness of companies:
a strong dollar is bad for American exporters and a weak dollar is good. Yet empirical …

Factor-based indexes tilt toward characteristics that are associated with long-term
outperformance, but they are often unable to provide the desired exposures without taking on …

This dissertation examines whether simultaneously conditioning on the multidimensional
characteristics of information signals can help predict returns that are of economic significance. …

In this article, the authors investigate the performance of a lowvolatility portfolio. Such a
portfolio invests in lower- variance and defensive stocks that tend to have lower beta, making …