This study conducts a comprehensive investigation into style momentum strategies—the
combination of price momentum strategies based on previous medium-term returns and …

In this paper, we explore the impact of investor herding behavior on stock market volatility.
We adopt a direct herding measure based on the variation of cross-sectional stock betas …

This paper explores market timing abilities of Chinese mutual fund managers from the three
dimensions: market return, volatility, and liquidity. Using a sample of equity funds from July …

This article investigates the forecasting power of economic variables for the Chinese stock
market volatility. We find that several economic variables strongly forecast the future monthly …

We use intraday and daily data to examine the impact of cross-sectional return dispersion on
volatility forecasting in the Chinese equity market. We adopt the GARCH, GJR-GARCH, and …

The authors propose in this article a downside risk-parity strategy for optimal asset
allocation. In contrast to the classical risk-parity strategy, this new strategy requires that each …

This paper discusses the use of forecast reconciliation with stock price time series and the
corresponding stock index. The individual stock price series may be grouped using known …

This paper proposes a new combination framework to explore the Chinese stock market
return predictability. While most well‐known predictor variables and simple combinations fail …

In this paper, we study the predictive performance of two kinds of volatility estimators: the
realized volatility (RV) type and duration‐based ones. This is motivated by the theoretical …

How much can we learn finance directly from text data? This paper presents a new
framework for learning textual data based on the factor augmentation model and sparsity …