We propose and identify two novel investment strategies, the modified quality (MQ) investing and the modified value (cheapness) (MC) investing. We show that the MQ (MC) investing notably outperforms the traditional quality (value) investing. Our MQ strategy tends to avoid overpriced quality...

Based on asset pricing theory, we posit and find that equity markets and cryptocurrency markets share a common fundamental. Our cointegration tests show that the most important asset pricing primitive, consumption, can serve as the common fundamental. We further show that additional...

This paper attempts to estimate and study the role of 'other information', as posited in the residual income valuation model of Ohlson (1995), for tracking and predicting future returns of the S&P 500. 'Other information' is an unobserved variable and defined as a summary of value-relevant...