stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It … strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …