In this paper, we examine whether the short-term variation in the size and value premium in the Japanese stock market is sufficiently predictable to be exploited by a tactical timing strategy. In the spirit of Pesaran and Timmermann (1995), we employ a dynamic modeling approach in which we...

In this paper we develop a trading strategy in which the difference in observed returns of value and growth stocks in the US stock market is exploited. In the literature this return spread is often called the quot;value premiumquot;. In our modeling process we use a procedure similar to the...

Our study examines whether the short-term variation in the Japanese size and value premium is sufficiently predictable to be exploited by a timing strategy. In the spirit of Pesaran and Timmermann (1995), we employ a dynamic modeling approach in which we explicitly allow for permutations among...

Recent research documents that commodities are good diversifiers in traditional investment portfolios: overall portfolio risk is reduced while less than proportional return is sacrificed. These studies generally find a relatively high volatility in commodity returns, which implies a huge...