In order to examine non-linear predictability of the US and Japanese dividend-yield ratio, smooth transition regression model analysis is applied to an extended time period of data. The theoretical basis for investigating non-linear behaviour in stock returns can be based on the interaction...

The added value of smart beta indices is known to be explained by exposures to established factor premiums, but does that make these indices suitable for implementing a factor investing strategy? This paper finds that the amount of factor exposure provided by popular smart beta strategies...

In economies that exhibit love-for-variety either in preferences or technology, the official consumer price index differs from the welfare-based price aggregator. This wedge implies that the stochastic discount factor should be adjusted to account for changes in the range of goods. This paper...

Momentum strategies have widely been recognized in the literature for several markets, asset classes and time horizons. However, these strategies face a major objection as they significantly violate even the weak form of the efficient market hypothesis. Recently, it has been shown that, from a...

This appendix to 'Beyond the Carry Trade: Optimal Currency Portfolios' presents supplementary results not included in the paper.The paper may be found here: 'http://ssrn.com/abstract=2041460' http://ssrn.com/abstract=2041460

We explore the link between informativeness of signals, stochastic dominance and equilibrium bids in a multi-unit auction with risk averse bidders. We show that for a particular class of signal distributions, there is a one-to-one relation between informativeness and conditional first-order...

By incorporating behavioral sentiment to a model of limit order market, we show that behavioral sentiment not only helps to replicate most of the stylized facts simultaneously in limit order markets, but also plays a unique role in explaining these stylized facts that cannot be explained by...

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

Financial Times Series such as stock price and exchange rates are, often, non-linear and non-stationary. Use of decomposition models has been found to improve the accuracy of predictive models. The paper proposes a hybrid approach integrating the advantages of both decomposition model (namely,...

There is large variation in the leverage effect on each weekday. In the past 15 years, the average difference between the impact of negative and positive stock return innovations on future volatility in the S&P 500 Index is 45% on Monday, 14% on Tuesday, 60% on Wednesday, 6% on Thursday, and 28%...