Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...

Market timing is preferred path to alpha because it is very simple to implement even by individual investors. In this paper we apply the Hallerbach (2014) methodology to emerging markets from Asia and Eastern Europe. We find that by using volatility-weighted bets we improve significantly the...

In this paper, we argue that, once the costs of maintaining the hedging portfolio are properly taken into account, semi-static portfolios should more properly be thought of as separate classes of derivatives, with non-trivial, model-dependent payoff structures. We derive new integral...