This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

In an equilibrium Black and Scholes (1973) economy, a firm's default risk and its expected equity return are non-monotonically related. This may explain the surprising relation found between these two variables in recent empirical research. Although changes in default risk induced by expected...

We aim to compare different allocation models to build a portfolio that includes a popular set of alternative risk premia, common to most traditional asset classes. Firstly, we review alternative risk premia, mainly Carry, Value and Momentum, then we create sub-styles and styles portfolios. On...

We introduce the notion of a patience premium, which is based on the concept of ambiguity aversion and is an ambiguity premium. We identify three reasons for the existence of the patience premium: Certainty preferences: perceived confidence in the expected performance; Comparison with peers:...

Asset returns are not correlated with the business cycle but are primarily caused by the economic cycles. To validate this claim, economic cycles are first rigorously defined, namely the classical business cycle and the growth cycle, better known as the output gap. The description of different...

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...

This paper introduces a new out-of-sample forecasting methodology for monthly market returns using the variance risk premium (VRP) that is both statistically and economically significant. This methodology is motivated by the `beta representation,' which implies that the market risk premium is...

Alternative risk premia (ARP) strategies are traditionally assumed to diversify both equity and bond market risk. We investigate the nature and risk characteristics of commonly known investable ARP strategies using investment bank strategy data. While most of the strategies have low full sample...

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

This study examines the seasonality effect in the cross section of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigated the cross-sectional seasonality of market, value, size, momentum, quality, and low-risk premia within...