The capital asset pricing model (CAPM) states that assets are priced commensurate with a trade-off between undiversifiable risk and expectations of return. The model underpins the status of academic finance, as well as the belief that asset pricing is an appropriate subject for economic study....

The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-beta stocks has been shown to deliver significant risk-adjusted returns. However, it has been suggested that such “low-risk investing” delivers high returns primarily due to its industry bet, favoring...

We examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistent with theoretical models such as the CAPM, which predict a positive relation, but consistent with the results of studies for developed...

The purpose of this paper investigates the direction of causality between the monthly stock returns and the monthly net foreign investor flows, and the existence of feedback trading by foreign investors for the "blue chip" stocks of the Istanbul Stock Exchange (ISE), an emerging stock market....

We provide evidence that speculative capital of hedge funds is a key determinant for the profitability of optimal carry and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from the perspective of a utility maximizing risk averse...

Liquidity is a multidimensional concept with most liquidity measures proxying for only one of the many facets. Using nine low-frequency liquidity proxies, this study calculates composite liquidity measures by extracting the commonality across liquidity dimensions. As a stock characteristic,...

Investors have different preferences for portfolio skewness and kurtosis, i.e. return asymmetry and tail fatness. We build up a new equilibrium model with three types of investors whose preferences can be characterized by "MV", "MVS" and "MVSK". (M: Mean V: Variance S: Skewness K: Kurtosis) and...

We explored the application of a machine learning method, Logitboost, to automatically calibrate a trading model using different versions of the same technical analysis indicators. This approach takes advantage of boosting's feature selection capability to select an optimal combination of...

Studying major currencies versus the U.S. Dollar, this paper makes two contributions. First, we document strong comovement in both intraday and daily currency spreads. We also show that currency spreads co-move with aggregate U.S. equity market spreads. Thus, comovement in liquidity is even more...

This paper investigates how individual investor trading can cause stock prices to move for reasons unrelated to fundamentals. We use a sample of dual-listed stocks to identify the sources of their price movements. The results show that excess price comovement driven by the market-specific shock...