Asset allocation models have evolved in complexity with the development of modern portfolio theory, but they continue to operate under the assumption of investor rationality and other assumptions that do not hold in the real world. For this reason, academics and industry professionals make...

This paper analyzes three aspects of over-the-counter (OTC) stocks: (1) the recent trends in the OTC stock market structure and size; (2) the documented properties of OTC stocks; and (3) the differences in returns based on investor and stock characteristics. Approximately 10,000 OTC stocks were...

The previous literature on momentum investments has only considered the so called unconstrained momentum return. This paper will investigate budget constrained momentum returns by using two different datasets. The conclusion is that unconstrained momentum returns systematically overestimate the...

This paper studies the return behaviour at National Stock Exchange, India and the Rupee-Dollar exchange rate, using NSE's Nifty as the benchmark for stock returns, while INR-USD rate is used as the benchmark for exchange rate. The daily closing levels of the two benchmarks for a period beginning...

We examine whether initial returns influence investors' decisions to return to the stock market following withdrawal. Using a survival analysis technique to estimate Finnish retail investors' likelihood of stock market re-entry reveals that investors who experience lower initial returns are less...

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...

Stock prices are generally governed by rational inputs and irrationality in the market can cause only daily, weekly and short run fluctuations. While irrationality takes prices away from its intrinsic value, rationality brings it back. Contrarian investment strategy is followed under the...

The purpose of this paper is to examine the existence and persistence of momentum, “the premier anomaly” according to Eugene Fama, as a source of out-performance in the Indian equity markets. We test a set of relative-strength strategies on twenty years of Indian equity markets data to...

This paper examines the temporal relationship between sin stocks and investor sentiment using vector autoregressive models. It decomposes sin returns into a market-based and pure sin component and then performs dynamic statistical modeling on the pure sin portfolio. Next, it attempts to...