Neither existing theory nor prior empirical work can tell us the impact of non-normality on required sample sizes for Student-t tests of the mean in U.S. stock returns. Prior empirical work and bounds from a modified Berry-Esseen theorem do suggest, however, that the answer should vary with...

We test for recently reported momentum profits in New Zealand using a practitioner technique that we have not yet seen in the academic literature. This technique simultaneously weighs returns, risk, and transactions costs at each portfolio rebalance, rather than blindly chasing returns and then...

Plotting daily stock returns against themselves with one day's lag reveals a striking pattern. Evenly spaced lines radiate from the origin; the thickest lines point in the major directions of the compass. This 'compass rose' pattern appears in every stock. It is caused by discreteness. However,...

We test for recently reported momentum profits in New Zealand using a practitioner technique that we have not yet seen in the academic literature. This technique simultaneously weighs returns, risk and transactions costs at each portfolio rebalance, rather than blindly chasing returns and then...

Can you give an example of wrong-way risk? Are you confident of the distinctions between operating risk, operational risk, and operations risk? Can you define and distinguish between systematic risk and systemic risk? Do you know the relationship between de-risking risk and correspondent banking...

I show you how to use the Bloomberg Professional Service (i.e., the “Bloomberg Terminal”) to execute a Benjamin Graham value investing exercise using Bloomberg’s equity screening (EQS) function. I used this exercise very successfully for 15 years in a final-year undergraduate Applied...