We study the out-of-sample and post-publication return-predictability of 97 variables that academic studies show to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data...

This essay looks at the bidirectional relationship between financial history and financial economics. It begins by giving a brief history of financial economics by outlining the main topics of interest to financial economists. It then documents and explains the increasing influence of financial...

The article presents an empirical research of macro-level value factors in emerging markets. Quantitative analysis is offered of institutional environment's maturity, infrastructure and economy structure influence on the value of companies and well-being of the countries as a whole. Despite...

In the wake of the recent financial crisis, several commentators have suggested a transaction tax on financial markets. The potential consequences of such a tax could be hazardous to the financial markets affected as well as to the economy. In this paper, we review the relevant theoretical and...

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

In this paper we will discuss the relationship among volume, volatility and return momentum in global financial markets. It turns out that when the volatility is large i.e. the difference between the daily high price and the daily low price is large then the trading volume is also large. We also...

This paper explores financial stability policies for the shadow banking system. I tie policy options to economic mechanisms for shadow banking that have been documented in the literature. I then illustrate the role of shadow bank policies using three examples: agency mortgage real estate...

For the development of a country, its financial and economic backbone must be strong. This is especially true in the case of developing countries, who attach great importance to financial sector development and deepening in the pursuit of their poverty reduction goal. The financial sector...