This article presents a comprehensive analysis of the relative ability of three information sets --- daily trading volume, intraday returns and overnight returns --- to predict equity volatility. We investigate the extent to which statistical accuracy of one-day-ahead forecasts translates into...

Using a unique database of UK fund manager changes over the period from 1997 to 2011, we examine the impact of such changes on fund performance. We find clear evidence to suggest that a manager change does affect the benchmark-adjusted performance of UK mutual funds. In particular we find a...

This study investigates survival of the momentum effects in S&P Global 1200 Sector index returns which are underlying indices for iShares, by employing a methodology which allows analyzing the momentum effect without being dependant on zero-investment portfolios. We design a trading strategy...

This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by...