The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique...

This paper shows that market breadth, i.e. the difference between the average number of rising stocks and the average number of falling stocks within a portfolio, is a robust predictor of future stock returns on market and industry portfolios for 64 countries for the period between 1973 and...

We employ a repertoire of machine learning models to explore the cross-sectional return predictability in cryptocurrency markets. While all methods generate substantial economic gains, those that account for nonlinearities and interactions fare the best. The return predictability derives mainly...

Investors typically cover a limited number of stocks and have some degree of correlation in their information sets. However, the role of this type of correlation in determining the return comovement between stock pairs is largely unexplored. In this study, we propose a new measure of common...

Political risk is an important determinant of portfolio returns. In this study, we revisit the importance of political risk in the context of a constrained portfolio, namely a Shariah-compliant equity portfolio, invested in 61 international markets. The weights of each constituent are driven by...

We examine return predictability with machine learning in 46 international stock markets. We calculate 148 stock characteristics and use them to feed a repertoire of different models. The algorithms extract predictability mainly from simple, yet popular, factor types—such as momentum,...