Innovative efficiency and stock returns

TL;DR: In this article, the authors compare commonly employed factor models across 50 non-U.S. developed and emerging market countries by ranking them based on their maximum Sharpe ratios, and find that the factor models of Fama and French (2015, 2018), Hou, Xue, and Zhang (2015), and Stambaugh and Yuan (2017) are dominated by a six-factor model that includes cash-based profitability and momentum factors, as well as a value factor that is updated monthly.

TL;DR: In this article , the authors explore the effects of judicial independence on corporate innovation by analyzing the staggered establishment of circuit courts in China and find that introducing circuit courts increases corporate innovation, particularly for central state-owned enterprises and private firms.

TL;DR: The authors found that targets with a greater degree of reported negative ESG incidents tend to have lower acquisition premiums, and acquisition premiums are lower for targets that have more reported negative incidents than the acquirers themselves.

TL;DR: In this paper, the decisions of the European Parliament (EP) are shown to influence both EU emission allowance (EUA) prices and volatility, and the authors suggest the need for policymakers to improve communication of long-term strategies for the EUA market.

TL;DR: Using a sample free of survivor bias, this paper showed that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual fund's mean and risk-adjusted returns.

TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.

TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.

TL;DR: Barney as mentioned in this paper showed that the sustainability of a firm's asset position depends on how easily assets can be substituted or imitated, and that imitability is linked to the characteristics of the asset accumulation process: time compression diseconomies, asset mass efficiencies, interconnectedness, asset erosion and causal ambiguity.