We link momentum and long-run return reversal to the cyclic behavior of firm fundamentals, which are represented by a fundamental index that summarizes succinctly and efficiently a broad range of business activities at firm level. In responding to repeated unanticipated positive (negative)...

his paper presents a new prediction methodology for long-short portfolio return in its multiplicative version. Our method relies on the on-line universal portfolio construction. We derive a closed-form predicting formula whose coefficients are solely determined by historical data. We empirically...

This paper analyses the properties of two popular portfolio strategies. They are the Buy and Hold strategy and the Discretely Rebalanced strategy. It is assumed that the underlying stocks have a multivariate lognormal distribution. The distribution of the sum of correlated lognormals plays a...