This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully...

Does the disposition effect appear in bond trades as in stocks?. We apply the Odean's measure (1998) to a proprietary transaction database with unique investor ids from an emerging market exchange that holds both stock and bond trading. We find some disposition effect in treasuries, but much...

Understand today''s investment challenges and the role of the Bloomberg system In recent years, changes have swept through the investment industry like wildfire. Academia has followed along and provided new lenses for viewing this transformation, as well as new strategies for gaining a true...