The idiosyncratic volatility effect of Ang et al. (2006) is robust to restricting the sample to NYSE firms (once proper listing indicator is used) and to excluding from the sample small, illiquid, and low-price stocks. The idiosyncratic volatility effect is also unlikely to stem from the...

This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical analyses indicate a negative and significant...

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

I propose to forecast the market returns through its constituents. In contrast to the voluminous literature that concentrates on the predictive power of aggregate cross-sectional or macroeconomic predictors, I analyze the return predictability of sub-portfolios that compose the market portfolio....

Asset returns in efficient markets should not display serial correlations. Otherwise, asset prices would be predictable to a certain extent and arbitrage opportunities would appear, contradicting the assumption of efficiency.Lack of serial correlation is considered to be true for most...

As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast. Against this background, this study evaluates the forecasting power of three methods that have been applied successfully in a stock market prediction context: 1) technical...

We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method signi cantly improves upon the original sum-of-the-parts...