This paper investigates Barosso and Santa-Clara's (2015) risk-managed momentum strategy in an industry momentum setting. We investigate several traditional momentum strategies including that recently proposed by Novy-Marx (2012). We moreover examine the impact of different variance forecast...

This study examines two determinants of investor sentiment (ex-ante evaluation of future value-related events and ex-post reaction to event outcomes) using the data on soccer games and betting odds. Results suggest that the magnitude and the character of investor reactions vary considerably...

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We extend this literature by investigating the profitability...

This study investigates carry trade diversification opportunities and linkages of major carry trade currencies on five different investment horizons. Using daily data on eight currencies and LIBOR rates, we examine the temporal structure of correlations and assess portfolio diversification...

This paper examines the impact of inflation and economic growth expectations and perceived stock market uncertainty on the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the same direction during periods of high inflation...

This paper re-examines the performance of the "Dogs of the Dow" (DoD) investment strategy in a different market setting and over a different time period. In particular, we use Finnish data over the period 1988-2008 to examine whether the DoD strategy can be successfully replicated in different...