Returns merely based on one purchasing price of an asset are uninformative for people regularly contributing to their old-age provision. Here, each purchase has an influence on the outcome. Still, they are commonly used in finance literature, giving an overly optimistic view of expected...

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

A random variable dominates another random variable with respect to the covariance order if the covariance of any two monotone increasing functions of this variable is smaller. We characterize completely the covariance order, give strong sufficient conditions for it, present a number of examples...

The paper has two main objectives. The first is to test for the presence of the size and book-to-market value effects in the Visegrad countries. Such effects have been found in the United States and many other developed stock markets. The Visegrad countries consist of the Czech Republic,...

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in...

I propose to forecast the market returns through its constituents. In contrast to the voluminous literature that concentrates on the predictive power of aggregate cross-sectional or macroeconomic predictors, I analyze the return predictability of sub-portfolios that compose the market portfolio....

Our study evaluates the return sensitivity of cryptocurrencies to various measures of uncertainty (uncertainty beta). We identify that crypto returns react primarily to financial uncertainty, which is the unforecastable component of multiple financial indicators. However, crypto returns are not...

We establish innovative measures of liquidity premium Beta on both asset and portfolio levels, and corresponding liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA-GARCH/EGARCH representation to model the liquidity-adjusted return for...

Multifactor funds, which offer factor diversification neatly packaged in one product, have a rather short but poor track record; these funds have largely underperformed widely-available broad market funds. This article evaluates the performance of multifactor funds relative to two homemade factor...