In this study, we investigate the attenuation of idiosyncratic risk and corresponding benefits of diversification for equally weighted and market capitalization weighted portfolios in the UK Equity Market over 2002 - 2012. We analyze the absolute benefits of risk reduction by testing the...

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...

Portfolio managers and investors alike continuously grapple with trying to outperform the benchmarks, while keeping in mind the right number of stocks in the portfolio for optimal diversification. Through our analysis of the Indian stock market, we show that by random selection of stocks, the...

This paper shows that in financial markets with endogenous asset supply and demand, both rational and noise traders do coexist in the long run. The finding implies that financial markets are neither informationally nor allocationally efficient. While rational traders have a consistently higher...

We investigate the pricing of systematic liquidity risk in UK equities using a large sample of daily data. Employing four alternative measures of liquidity we first find strong evidence of commonality in liquidity across stocks. We apply asymptotic principal component analysis (PCA) on the...

Campbell and Shiller average 10 years of real S&P 500 earnings to construct its Cyclically Adjusted P/E ratio, or CAPE, which they then use to forecast its future 10-year returns. In essence, Campbell and Shiller kill two birds with one large stone - they use the 10-year average to reduce noise...

The paper probes the sector-wise presence of volatility persistence, herding behavior and corresponding implications on investors and policymakers in the Oceania region both in Pre-COVID & Post-COVID era. The inspection is based on seven identical sectors from both Australia and New Zealand...

This paper explores the effects of the number of portfolio holdings and the size of the investment universe on momentum strategies in India. Using mixed linear models, we test hypotheses related to exposure to market, size, and momentum factors, the influence of universe selection on these...

This paper re-examines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the...