This paper provides evidence regarding the performance of momentum investment strategies that is consistent with neoclassical theory. More specifically, while momentum investment returns appear orthogonal to systematic risk in the extant literature, this paper illustrates that they due to...

Following Cooper et al. 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorizing up/down markets based on actual prices as Cooper et al. 2004, we suggest investors may view expectations and/or sentiment as important. Contrary to...

Microfinance institutions have successfully extended unsecured small loans to poor and opaque borrowers at the bottom of the economic pyramid. This success is largely due to innovative financial contracts that impose joint liability and create dynamic incentives to mitigate the effects of...

Considerable evidence from a plethora of countries suggests that momentum strategies generate profits. These have been difficult to rationalize and evidence on the sources of such profitability is inconclusive.We use a sample of optioned stocks that are very liquid and large and have fewer short...

During the recent financial crisis, numerous EU officials, market participants and the media suggested that irrational herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd behavior in European government bond prices and,...

The aim of this paper is to investigate if, and to what extent, events from the three financially troubled EU markets (Greece, Ireland, and Portugal) affected energy prices during the recent EU financial crisis. More specifically, (i) we test for contagion effects from bond markets on...

Recent research on robust decision aiding has focused on identifying a range of recommendations from preferential information and the selection of representative models compatible with preferential constraints.This study presents an experimental analysis on the relationship between the results...

Finance is a popular field for applied and methodological research involving multiple criteria decision aiding (MCDA) techniques. In this study we present an up-to-date bibliographic survey of the contributions of MCDA in financial decision making, focusing on the developments during the past...

The financial health of local governments has attracted considerable interest over the past couple of decades. In this study, we follow a benchmarking perspective and introduce a multi-attribute financial evaluation model that allows peer assessments to be made, including comparisons overtime,...

The paper assesses the most recent performance, persistence and riskiness of contrarian portfolios. Evidence from the major world and European market of France shows that such portfolios appear profitable on average, but their performance is not persistent from one holding period to the next;...