While existing asset pricing studies focus on macroeconomic variables to predict stock market risk premium, we find that an aggregate index of corporate activities has substantially greater predictive power both in- and out-of sample, and yields much greater economic gain for a mean-variance...

This paper proposes a philosophy, which generalises the concepts of alpha and beta in its various forms. We argue that in a generalised form the demarcation is actually one between commoditised and non-commoditised beta exposures. This demarcation changes as the market evolves. We further...

We find that gold has not performed particularly well compared to other assets. However, there is a place for gold-related assets in institutional portfolios separate from commodities and energy equities. The role for gold lies in its diversification and macroeconomic hedging benefits.We examine...

This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern...

This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000-2019. We find that value, risk, and trading...

We study carry trades in the cryptocurrency market and document that the lack of sufficient arbitrage capital in combination with highly levered speculators creates ample carry opportunities. We find that carry in bitcoin, as measured by the funding rate of BTC/USD perpetual swaps, resembles...

We reconsider the idea of trend-based predictability using methods that flexibly learn price patterns that are most predictive of future returns, rather than testing hypothesized or pre-specified patterns (e.g., momentum and reversal). Our raw predictor data are images—stock-level price...

We explain the importance of Market Microstructure in the study of the Financial Markets, and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical...

For many equity and fixed income investors the only real investments have cash flows. Bitcoin is an example of an "investment" that does not have cash flows and therefore it is easy for equity and fixed income investors to dismiss Bitcoin out of hand. However, it is possible to use the same ad...

This paper highlights how the international business exposure of the S&P 500 constituents has evolved over the past decade. It demonstrates that a large and increasing fraction of the revenue of the S&P 500 constituents comes from international markets. In 2010, almost 40 percent of the...