This paper studies a basket of risk statistics that are widely used to measure investment performance. Those risk statistics were used to rank the performance of the assets. The dependent information was removed from the set of risk measures that were used in the test. The risk statistics were...

We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments' time-series and cross-sectional properties. We investigate if this week's realized moments are informative for the cross-section of next week's stock returns. We...

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

This paper examines whether deep/machine learning can help find any statistical and/or economic evidence of out-of-sample bond return predictability when real-time, instead of fully-revised, macro variables are taken as predictors. First, when using pure real-time macro information alone, we...

Motivated by existing evidence of a preference among investors for stocks with high maximum daily returns, we document that lottery-like payoffs measured by maximum daily returns are almost entirely idiosyncratic. Firm-level cross-sectional regressions and portfolio-sort analyses prove that...

In a recent empirical study by Glabadanidis ("Market Timing With Moving Averages" (2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper is also available on the SSRN and has been downloaded more than 7,500 times) the author reports striking evidence of...

This paper highlights the use of a new strategic approach within a quantitative investment methodology in the context of making prudent asset allocation decisions. Three asset classes will frame the dynamic asset allocation discussion: Equities, Fixed Income, and Hedge Funds. The quantitative...

The paper addresses an issue of the performance persistence in a mutual fund market. The study focuses especially on the evidence from Poland. The past performance of mutual funds is widely regarded as a key criterion in investment decision making in Poland nowadays, whereas existing empirical...

This article comprehensively reviews the predictability of six equity factors. These factors are the market excess return, size, value, momentum, low beta and quality. I find predictability for the low beta factor and moderate predictability for the size factor. The results for other factors are...

The profitability of a trading system based on the momentum-like effects of price jumps was tested on the time series of 7 assets (EUR/USD, GBP/USD, USD/CHF and USD/JPY exchange rates and Light Crude Oil, E-Mini S&P 500 and VIX Futures), in each case for 7 different frequencies (ranging from...