Dissertations, Theses, and Capstone Projects

Date of Degree


Document Type


Degree Name





Tao Wang

Committee Members

Thom Thurston

Wim Vijverberg

Subject Categories

Economics | Finance | International Economics


anomalies, international sales, technical analysis, risk management, predictable returns, international markets


This dissertation consists of three chapters related to empirical asset pricing in the international stock market.

Chapter 1: "Loss of International Sales and Stock Performance" Using international firm-level data from 1990-2015, I show that when global firms' total international sales drop to zero, this conveys an important signal about future firm operations. An equal-weighted portfolio that sells stocks of firms that completely lost international sales and buys stocks of global firms earns up to 86 basis points per month (over 10% per year). This return predictability cannot be explained by the Fama-French international three- or five-factor models. Further examination suggests that investors' inattention and limits to arbitrage could partially explain this phenomenon. This paper is among the first to document the impact of firm global de-diversification by studying those firms that exited international markets completely during our sample period.

Chapter 2: "Moving Average and Anomalies" Using international firm-level data from 1990 to 2019, I show that a simple moving average based stock screening procedure during the portfolio formation period can enhance the returns of eight anomaly hedge portfolios by 38 basis points on average per month (4.56% per year). The return enhancement from the moving average screening strategy remains robust across different variations and cannot be explained by the Fama-French international five-factor model.

Chapter 3: "Can Volatility Management Enhance Anomaly Performance?" In this chapter, I examine whether the volatility-managed strategy enhances hedge portfolio returns of nine well-documented anomalies for international equity markets. By analyzing firms' financial data from 23 developed markets with a sample period of 1990-2019, I find that on average volatility-managed anomaly hedge portfolios earn additional 59 basis points per month (7.07% per year) compared to the original anomaly hedge portfolios. The Sharpe ratios, on average, increase by 0.24. The enhancement in portfolio returns cannot be explained by the Fama-French international five-factor model. Our results remain robust under different variations and model setups.