The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …

Since their power for choosing US stocks was documented in the early to mid-1990s
(Jegadeesh and Titman [1993] and Asness [1994]), the success of momentum strategies has …

50 Stock Portfolio 100 Stock Portfolio 150 Stock Portfolio 200 Stock Portfolio 250 Stock
Portfolio 300 Stock Portfolio 500 Stock Universe 1 month hold 17.0% 14.4% 13.6% 12.7 …

In this article, we propose a method of computing a smooth curve from observed forward
prices with settlement over a period. We consider the electricity market, where such …

Leading economic indicators assist in forecasting future business conditions. Can they also
predict aggregate stock returns? To answer this question, we examine six decades of data …

This study investigates which index characteristics predict returns in the cross-section of
local industry indexes in six regions. The results show that geographical origin and market …

Is there a short-term reversal effect outside the universe of individual stocks? To answer this,
we investigate a comprehensive dataset of more than two centuries of returns on five major …

We compare the risk-adjusted performance of stock–bond portfolios between rebalancing
and buy-and-hold across different asset allocations by reporting statistical significance …

The old and simple investment strategy “Sell in May and Go Away”(also referred to as the
“Halloween effect”) enjoys an unbroken popularity. Recent studies suggest that the …

Previously reported momentum profits may not be available to individual investors who have
more trading constraints. Therefore, I examine the profitability of momentum strategies with …