We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …

years. The diversification benefits implied by our empirical model are, moreover, strongly varied over time. These findings …Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … capture and forecast the conditional time-varying joint distribution of the oil-stocks pair accurately. Our realized GARCH …

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe … (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor …

diversification's impact on the serial correlation of analyst forecast errors and its associated drift is significantly reduced after …

increasing information ratios. We show that information ratios can be increased by targeting constant volatility over time …

This paper examines the relation between equity portfolio diversification choices of individual investors and stock … diversification clientele based portfolios can explain cross-sectional variations in returns for a considerable subset of stocks. The … diversification choices of individual investors influence stock returns …

diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and … cost as liquidity measures. Findings - Pakistan's equity offers substantial diversification benefits if added to developed …