Söhnke M. Bartram is a Professor of Finance at the University of Warwick. He is also a Charter Member of Risk Who's Who and a member of an international think tank for policy advice to the German government. His immediate research activities center around issues in international finance and financial markets. Dr. Bartram's work has been presented at conferences organized by the NBER, CEPR, the American Finance Association, the Western Finance Association, and the American Economic Association, published in the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, Management Science, and the Journal of Financial and Quantitative Analysis, and included in testimony before the U.S. Congress House Financial Services Committee. Dr. Bartram has been a Visiting Scholar at the Ohio State University, the University of North Carolina, the University of Texas at Austin, the Kiel Institute for the World Economy, the London School of Economics, the UCLA Anderson School of Management, London Business School, NYU Stern, Goethe University, EIEF and EUI. Dr. Bartram worked for several years in quantitative investment research for State Street Global Advisors as Head of the London Advanced Research Center and is a consultant to various financial institutions and investment companies.
Professor of Finance
University of Warwick
We use point-in-time accounting data to estimate monthly fair values of more than 25,000 stocks from 36 countries over more than two decades. Trading on deviations from fair value, which do not proxy for known anomalies, yields statistically and economically significant risk-adjusted returns in most regions, especially the Asia Pacific and emerging markets countries. Pre-transaction cost alphas are positively related to trading costs, but in most regions alphas also significantly exceed country-specific trading costs. Thus, global equity markets are inefficient, but are relatively less efficient in counties with quantifiable market frictions, particularly trading costs, that deter arbitrageurs.