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The Brattle Group
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ESG, Investment Management, Over-Reaction, News, Institutional Investors
Momentum, trend salience, extrapolation, market states
Smart beta, funds management, value, momentum, volatility, quality
asset pricing, Fama-French model, macroeconomic risk, ICAPM
Anomalies, Stock market seasonality, Emerging markets
asset pricing, autocorrelation, momentum, style investing, Fama-French model
Corporate governance, agency theory, asset pricing
Firm-Level Investor Sentiment; Market-Level Investor Sentiment, Stocktwits, Mergers and Acquisitions, Return Reversals, Heterogeneity, Uncertainty
Asset pricing, tangibility of assets, investment irreversibility, Fama-French model
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
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
Myopic loss aversion; momentum drawdown; cumulative prospect theory; culture
International momentum, return dispersion
MAX effect; limits of arbitrage; mispricing; emerging markets
Net Share Issuance, Dividend Imputation, Anomalies, Fama-French model
SEO, rights issue, private placement, information asymmetry, demand for capital, investor sentiment, market timing, cycles
SEO; Rights issue; Private placement; Information asymmetry; Demand for capital; Investor sentiment; Market timing
Investment, profitability, asset pricing
Momentum crash, skewness, cumulative prospect theory, regime switching
SEO, Regulation, Rights issue, Private placement
monetary policy announcement, equity market, explanatory minutes, Global Financial Crisis, sentiment
Asset sales, Australian governments, privatisation
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