This paper tests a wide range of momentum and reversal strategies at different trading frequencies for the complete Chinese commodity futures market dataset. Accurate estimates of transaction costs for each commodity and the minute level futures prices are utilized to obtain the most realistic...

Investors' behavior in the market is highly related to the properties that financial time series capture. Particularly, nowadays the availability of high frequency datasets provides a reliable source for the better understanding of investors' psychology. The main aim of this chapter is to...

Using detailed mutual fund holdings in the US market, we estimate active mutual fund managers’ loss aversion as a function of both funds’ past performance and asset allocations. We document a substantial variation in loss aversion over time. We further find managers' loss aversion is higher...