… from the following regression:(4) r t T S M O M ( k , h ) = α + β 1 M K T t + β 2 B O N D t + β
3 G S C I t + s S M B t + h H M L t + m U M D t + ε t , where we control for passive exposures to …

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 …

… Momentum returns for these asset classes are in fact stronger when we don't skip the most
… We include a scaling factor c t such that the overall portfolio is scaled to one dollar long and …

… As in Coval and Moskowitz (1999a), we compute the actual distance … at time t is where
#buyers j,t reflects the number of funds that increased their holdings of firm j in period t, #traders j,t …

… -month strategy at time t entails ranking stocks based on their t − 6 to t − 1 returns, and … t to
t + 5 minus the value-weighted return of the lowest 30 percent of stocks every month from t to t …

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 …

… different between investing in a portfolio of a single private firm, a public equity index, and
T-bills, or a portfolio of just the public equity index and T-bills. For an investor with a relative risk…

… set of regressions using the bull market indicator I L , t − 1 instead of the bear-market indicator
I B , t − 1 . The key variables here are the estimated coefficients and t-statistics on β L, U , …

This article examines the link between several well-known asset pricing “anomalies” and the
covariance structure of returns. I find size, book-to-market, and momentum strategies exhibit …

… t cross-sectional regression that we analyze is,(1) r ̃ t (j)− R ̃ t … t cross-sectional regression is,
r ̃ t (j)− R ̃ t B (j)=α t +β 1t r t−1:t−… r t−1:t−1 L (j)+β 3t D t−1:t−1 CW (j)+ γ 1t r t−12:t−2 (j)+γ 2t r t−…