Cover -- Title Page -- Copyright -- Contents -- Contributors -- Introduction -- CHAPTER 1 Behavioural Finance and Momentum -- 1.1 Introduction -- 1.2 The failure of risk‐based explanations -- 1.3 Behavioural models of momentum -- 1.4 Slow information diffusion -- 1.5 Patterns in information...

This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a...

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who...

Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification. Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk...

In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the...

"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...

This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension...