Risk-adjusted momentum returns are usually estimated by constructing momentum portfolios and then running a full-sample regression of their returns on a set of factors (portfolio-level risk adjustment). This approach implicitly assumes constant factor exposure of the momentum portfolio. However,...

We study intraday patterns of returns, trading activity, volatility and illiquidity in cryptocurrency markets. We analyze intraday data from 1,940 trading pairs traded on 38 centralized exchanges around the globe and show that there are pronounced intraday patterns. These patterns are similar...

We explore the relation between customer satisfaction and security returns. Firms with high customer satisfaction levels earn significant abnormal returns. This result is robust to variations of model specification and test methodology. Additional tests do not reveal evidence of systematic...

The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...