The stock market currently remains one of the most difficult systems to model in finance.
Hence, it is a challenge to solve stock portfolio allocation wherein an optimal investment …

Purpose This paper aims to review the theory and empirical evidence of institutional investor
behavioral biases in the lenses of behavioral finance paradigm. It surveys the research …

Smart-beta strategies are neither forward-looking nor dynamic. Investors choose factor (s)
and security weightings at the strategy's outset, based on historical data. It follows that an …

This article provides an alternative theoretical framework to explain investors' irrational
behaviours in finance theories (mainly asset pricing) based on psychoanalysis approach …

Which variables provide independent information about the cross-section of future returns?
Standard techniques like portfolio sorts and Fama-MacBeth regressions cannot easily …

More than three decades ago, Jacobs and Levy introduced the idea of disentangling stock
returns across numerous factors. They identified the relationships between individual stock …

While seasonal effects for both advanced and emerging markets have been investigated
extensively in mean and variance equations, Arab region asset markets have received much …

This paper develops a model of a trading system by using neuro fuzzy framework in order to
better predict the stock index. Thirty well-known stock indexes are analyzed with the help of …

This study examines the relationship between accounting data and financial market data for
securities listed on the Tokyo Stock Exchange. We document, for the first time for a non‐US …

Stock selection models have been, and can be, effectively employed in Japan to deliver
excess returns. In 1992, in the initial year of this Journal's publication, Guerard and Takano …