fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time risk factors, but …

I decompose the expected return difference between cross-asset time series momentum and time series momentum into … that two recent critiques of time series momentum do not apply to cross-asset time series momentum. Instead, the … outperformance of cross-asset time series momentum is driven specifically by the strategy's ability to exploit cross-asset time …

coefficients, volatilities, and covariances should vary over time. When applied to a portfolio of five stock and bond returns, we … relative to a standard no-predictability benchmark, the optimal combination of predictors, stochastic volatility, and time …

, including time-series, GRS statistic, and cross-sectional models within and across industries' portfolios. Results indicated …

equity market returns. My main finding is that equity market time-series momentum works well in the middle valuation regimes … sense, the historical extremes of the valuation ratios and the term spread define boundaries for time-series momentum. To …, increases the R2 in a predictive regression of equity market returns by up to 90% and the R2 in a predictive regression of time …

time, admits non-linearities and asymmetries in cycles. The method assumes that output can be represented by a non … place at the time. Finally, the obtained cycles are consistent with the evolution of the Peruvian economy and of recession …