This article presents a comprehensive analysis of the relative ability of three information sets --- daily trading volume, intraday returns and overnight returns --- to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into...

Standard Fama-French-Carhart models define ‘winners’ as funds that generate the highest excess returns given the factor risks involved; however, they do not provide information on whether such winners are outperforming their prospectus benchmark or their peer group. In addition, existing...

In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five factor model fits better the returns of US sector portfolios than the three factor model, but that...

This paper assesses the relationship between risk-shifting of mutual funds, measured as benchmark-adjusted factor-based investment style change following a structural break, and their risk-adjusted performance. We isolate only the breaks in style risk beyond those embedded in the funds’...