This study investigates the relationship between online media attention and the performance of China's green funds. The results show that increased media attention can boost the performance of green funds in the short term, however, this effect is short-lived. The mechanism of short-term...

India has one of the biggest capital markets in Emerging Countries. It has a large number of listed companies, brokers, financial institutions. There is also increasing stock trading community. Most of the retail players now follow Fundamental and Technical Analysis for their stock selection and...

This paper highlights the presence of investors' sentiments in the stock market with empirical evidences. Further it lays down the importance of stock market investment with the proper understanding of the sentiments.In this new millennium, with high speed technology which provides easy...

VAA (Vigilant Asset Allocation) is a dual-momentum based investment strategy with a vigorous crash protection and a fast momentum filter. Dual momentum combines absolute (trendfollowing) and relative (strength) momentum. Compared to the traditional dual momentum approaches, we have replaced the...

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...

Resilient Asset Allocation (RAA) is a more aggressive version of our Lethargic Asset Allocation (LAA) strategy. It combines a more robust “All Weather” portfolio with even slower growth-trend (GT) filter and a faster market crash-protection. GT timing goes risk-off only when both the US...

In finance, decision making and choice requires that we assume that asset prices tend to trend. This assumption also logically enables us to construct exits to limit losses and protect capital. But investors have good reason to be uneasy regarding the potential for significant loss when using a...

We improve on our Vigilant Asset Allocation (VAA) by the introduction of a separate “canary” universe for signaling the need for crash protection, using the concept of breadth momentum. The amount of cash is now governed by the number of canary assets with bad (non-positive) momentum. The...