Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...

We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which...

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...

The relationships between crude and product prices are crucial throughout oil markets and especially so within the refining industry, where they define the refinery margin between cost of inputs (crudes) and value of outputs (products). The oil market is global but regional factors are also...

Misspecification of agents' information sets or expectation formation mechanisms may lead to noncausal autoregressive representations of asset prices. Annual US stock prices are found to be noncausal, implying that agents' expectations are not revealed to an outside observer such as an...

This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. In particular, the marginal effect of an equity/house price drop on the likelihood...

This article comprehensively reviews the predictability of six equity factors. These factors are the market excess return, size, value, momentum, low beta and quality. I find predictability for the low beta factor and moderate predictability for the size factor. The results for other factors are...

This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected...

The presence of time series momentum effect has been widely documented in the financial markets across asset classes and countries. We find a predictable pattern of the realized semi-variance to the future individual asset return, especially during the stressed states of time series momentum...