We investigate the use of machine learning (ML) and other robust-estimation techniques in event studies conducted on single securities for the purpose of securities litigation. Single-firm event studies are widely used in civil litigation, with billions of dollars in settlements hinging on the...

In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Motivated by studies of the impact of frictions on asset prices, we examine the effect of key components of time-series momentum strategies on turnover and performance. We show that more efficient volatility estimation and price trend detection can significantly reduce portfolio turnover by more...

This paper shows that currency momentum, which cannot be explained by carry and dollar factors, summarizes the autocorrelation of these factors. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. Currency...

Investment managers require a consistent asset pricing model, asset allocation recommendations and risk-adjusted performance measures (or the “three facets of investing”) to be effective in managing portfolios. Incorporating three critical realities of investing into these models (i.e., that...