The issue of co-movements is still crucial and arguable in international finance. An optimum and significant level of co-movement is highly desirable to investors, and it mostly depends on investors' decisions (behavior and psychology). We use frequency-time bands and multi-scale-based wavelet...

In this study we examine the volatility-adjusted 60/40 rule at the individual company level. We document that strong diversification benefits exist over the long-term, and that both the equity and corporate bonds exhibit positive expected drifts. For our sample of 30 large-cap companies, given...

Prior studies found that analyst forecast dispersion predicts future market returns. Some prior studies attribute this predictability to the short-sale constraints in the market according to the overpricing theory. Using the U.S. data from 1981 to 2014, we find that the return predictive power...

In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the...