Traditional finance theory posits that the relationship between the risk and return of stocks is positive. Furthermore, investment practice is often based on the central contention of the Capital Asset Pricing Model (CAPM) that high (low) beta stocks earn higher (lower) returns. However, this...

Market-based value style equity portfolios do not systematically outperform market-based growth style equity portfolios, despite considerable academic research that suggests that they should. This is an unresolved puzzle in the long lineage of work on this topic. We ask whether portfolio...

In this paper, we compare and contrast financial data science with econometrics and conclude that the former is inevitably interdisciplinary due to the numerous skill-sets needed within a competitive research team. The latter, in contrast, is firmly rooted in economics. Both areas are highly...

This paper is based on the mathematical logic that asset returns being ratios of two consecutive prices are rational functions that cannot be averaged directly in a portfolio to match the average market returns. In this context, we study the Fama-French portfolios for the US markets and report...

We develop Influential Literature Analysis (ILA) as a four step approach, which improves upon existing methods to synthesise research areas. The first step rates the candidate studies for a research synthesis according to their influence and selects the most influential ones to be synthesised....

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following...