Stock market prediction has always caught the attention of many analysts and researchers. Popular theories suggest that stock markets are essentially a random walk and it is a fool’s game to try and predict them. Predicting stock prices is a challenging problem in itself because of the number...

Ability to estimate an individual security returns is very important and needed by investors. Therefore the presence of Capital Asset Pricing Model (CAPM) which can be used to estimate the return of a security is considered very important in the field of finance. However, Fama and French showed...

This study seeks to investigate herd behaviour among equity mutual fund managers and the performance of mutual funds that trade against the herd in South Africa. The behaviour of mutual funds has an effect on the stability and volatility of stock markets, the ultimate returns to the investors....

This paper provides a comprehensive analysis on stock return predictability in Santiago Stock Exchange from January 2007 to January 2016 by employing portfolio method. In the risk-related predictors, we found no statistically significant predictive power of beta, total volatility, and...

Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy's financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen...