We show that stock prices underreact when there is a political event, reflected in higher momentum returns. We … specific news. We analyze momentum returns following general election day, and find 8.8% increase in momentum portfolio return …

This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk …-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first … order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …