We construct a zero-net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the...

In this paper we assess the effectiveness of large scale bailouts aiming at preventing a financial crisis from further propagating into a systemic risk. We examine the structural changes in the relationship between the sovereign and financial institutions' credit default swap spreads during the...

We compare the momentum strategies to "naïve" uninformed strategies in Taiwan, Hong Kong, and Korea. The high participation of individual investors in these economies makes it an ideal setting to use the score function proposed by Banerjee and Hung (BH, 2011). As in BH we find that the average...

We consider a passive 1/N naive diversification strategy which is long in the equally weighted portfolio of stocks feasible for trading and short in the risk-free asset. We then examine the profi tability, exposures to risk factors, idiosyncratic variance as well as the relation between the...