23 Innovation Walk
Wellington Road
Clayton, Victoria 3800
Australia
Monash University
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Momentum, trend salience, extrapolation, market states
Smart beta, funds management, value, momentum, volatility, quality
asset pricing, Fama-French model, macroeconomic risk, ICAPM
ESG, Investment Management, Over-Reaction, News, Institutional Investors
asset pricing, autocorrelation, momentum, style investing, Fama-French model
Anomalies, Stock market seasonality, Emerging markets
Corporate governance, agency theory, asset pricing
Asset pricing, tangibility of assets, investment irreversibility, Fama-French model
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: acfi.pdf Size: 195K
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Tangibility of assets, cross-section, industry, asset pricing
asset pricing, cross-section, industry, tangibility of assets
Momentum crash; skewness; cumulative prospect theory.
Feller Diffusion, Fokker-Planck Equation, Geometric Brownian Motion, Logarithmic Return
Firm-Level Investor Sentiment; Market-Level Investor Sentiment, Stocktwits, Mergers and Acquisitions, Return Reversals, Heterogeneity, Uncertainty
Monetary policy, Foreign Exchange Market, Global Financial Crisis, Sentiment
Asset pricing, Fama-French model, investment-based anomalies, macroeconomic risk, ICAPM
Monetary policy announcement, explanatory minutes, asymmetry, global financial crisis, sentiment
Net Share Issuance, Dividend Imputation, Anomalies, Fama-French model
File name: ACFI.pdf Size: 0K
Net share issuance, Dividend imputation, Anomalies, Fama–French model
International momentum, return dispersion
SEO; Rights issue; Private placement; Information asymmetry; Demand for capital; Investor sentiment; Market timing
MAX effect; limits of arbitrage; mispricing; emerging markets
SEO, rights issue, private placement, information asymmetry, demand for capital, investor sentiment, market timing, cycles
Myopic loss aversion; momentum drawdown; cumulative prospect theory; culture
Investment, profitability, asset pricing
Investment, Profitability, Asset pricing model, Factor model
SEO, Regulation, Rights issue, Private placement
Momentum crash, skewness, cumulative prospect theory, regime switching
monetary policy announcement, equity market, explanatory minutes, Global Financial Crisis, sentiment
File name: acfi464.pdf Size: 403K
Size, Value, Risk, Liquidity
This is a Wiley-Blackwell Other paper. Wiley-Blackwell Other charges $10.00 .
File name: JACF.pdf Size: 0K
Asset sales, Australian governments, privatisation
Asset pricing, Momentum, Style investing, Fama–French model
illiquidity risk, yield spreads, sovereign debt, volatility
asset sales, Australian governments, privatisation
Asset Pricing, Share Issues, Share Issuance, Return Predictability, Dividend Imputation, Anomalies, Fama-French model
