John M. Griffin

TL;DR: The authors examined the relationship between book-to-market equity, distress risk, and stock returns among firms with the highest distress risk as proxied by Ohlson's ~1980! O-score, finding that the difference in returns between high and low book-tomarket securities is more than twice as large as that in other firms.

TL;DR: In this paper, the authors examined whether macroeconomic risk can explain momentum profits internationally and showed that momentum profits around the world are economically large and statistically reliable in both good and bad economic states.

TL;DR: This article examined whether country-specific or global versions of Fama and French's three-factor model better explain time-series variation in international stock returns and found that domestic factor models explain much more time series variation in returns and generally have lower pricing errors than the world factor model.

TL;DR: The authors found that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets using data from 56 markets, and showed that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment.

TL;DR: In this article, the authors studied the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities and found that the top performing decile of securities is 23.9% more likely to be bought in net by institutions and sold by individuals than those in the bottom performance decile.