Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and markets in periods of negative returns. I provide a framework to distinguish a unique source of risk from a set of factors in the stage of portfolio formation. The framework is...

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Recent applications of extreme bound analysis (EBA) to stock market anomalies suggest that few variables are robust. This article extends this research and examines emerging and developed markets simultaneously. Among 15 purported anomalies, six variables – short-run lagged returns, momentum,...

In this empirical study, I investigate whether emerging market stock prices can deviate from their fundamental values. Because standard tests are subject to size distortion, a new robust test due to Taylor and Peel (1998) is used here to test periodically collapsing emerging market stock price...

In this paper we entertain a method of finding the most robust moving average weighting scheme to use for the purpose of timing the market. Robustness of a weighting scheme is defined its ability to generate sustainable performance under all possible market scenarios regardless of the size of...

In this paper we apply robust linear programming technique for multidimensional analysis of preference (LINMAP) method for a decision making problem. During the last two decades, many methods have been extensively used for decision making problems. However, there is no investigation among many...