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...

This paper examines volatility interdependencies between value and momentum returns. Using U.S. data over the period 1926-2015, we document persistent periods of low and high volatility spillovers between value and momentum strategies. Moreover, we find that the intensity of the volatility...

This article investigates the delta hedging performance of the skewness and kurtosis adjusted Black-Scholes model of Corrado and Su (1996) and Brown and Robinson (2002). The empirical tests in the FTSE 100 index option market show that the more sophisticated skewness and kurtosis adjusted model...