This paper examines the performance of technical trading rules in Socially Responsible Investment (SRI) indices. Unlike previous studies, we separate technical trading rules into those that aim to trend-follow and those that employ mean-reversion. Using three popular FTSE4Good indices, we show...

This free software guide for Stata with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular software package. Designed to be used alongside the main...

This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naïve diversification, Markowitz diversification and the advanced Black-Litterman model with VBCs that controls for estimation errors in a portfolio of...

Motivated by the seasonality found in equity returns, we create a Turn-of-the-Month (ToM) allocation strategy in the U.S. equity market and investigate its value in asset allocation. By using a wide variety of portfolio construction techniques in an attempt to address the impact of estimation...

Bitcoin has received much attention in the media and by investors in recent years, although there remains scepticism and a lack of understanding of this cryptocurrency. We add to the literature on Bitcoin by studying the market efficiency of Bitcoin. Through a battery of robust tests, evidence...

We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. The observed...