We study the out‐of‐sample and post‐publication return predictability of 97 variables shown
to predict cross‐sectional stock returns. Portfolio returns are 26% lower out‐of‐sample and …

Investor protection is associated with greater investment sensitivity to q and lower investment
sensitivity to cash flow. Finance plays a role in causing these effects; in countries with …

The recent financial crisis shows that financial markets can impact the real economy. We
investigate whether access to finance typically time‐varies and, if so, what are the real effects. …

Firms increasingly issue shares for the purpose of cash savings. During the 1970s, $1.00 of
issuance resulted in $0.23 of cash savings; over the most recent decade, $1.00 of issuance …

… We use the 97 anomaly variables studied in McLean and Pontiff (2016), as each of these
variables has been reported to predict the cross-section of stock returns in a published …

Share issuance predicts cross-sectional returns in a non-US sample of stocks from 41 different
countries. Issuance predictability has greater statistical significance than either size or …

This paper tests whether the persistence of the momentum and reversal effects is the result
of idiosyncratic risk limiting arbitrage. Idiosyncratic risk deters arbitrage, regardless of the …

Previous studies have shown that high short interest stocks have low subsequent returns.
We test whether the persistence of this effect is due to costs limiting arbitrage. The arbitrage …

Analysts' price targets and recommendations contradict stock return anomaly variables. Using
an index based on 125 anomalies, we find that analysts' annual stock return forecasts are …

At year-end, some allege that institutional investors try to mislead investors by placing trades
that inflate performance (portfolio pumping) or distort reported holdings (window dressing). …