Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

I argue that academic research often inadequately accounts for alpha decay. As an anomaly's alpha (i.e., the risk-adjusted expected excess return) and realized returns are negatively related, alpha decay coincides with positive realized returns. If the alpha decays at publication, observers may...

By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics have earned high returns, whereas...

We look at the trend of alpha generation among 18 large-cap equity mutual funds in India betweenSeptember 2010 and August 2021. Between September 2013 and December 2017, these schemes, on average, outperformed a NIFTY 50 index tracker fund (average annualised 3-year alpha of 3.22%), but since...

We examine the performance of 36 smallcases between December 2019 and December 2022, comparing their performance against market-based and strategy indices, and four- and six-factor models. The results show evidence of targeted factor exposures for a few smallcases, but for most smallcases, the...

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze...

In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend results from the US market to the Spanish stock market, which, despite being...

Article deals with modelling of mutual dependencies among financial assets. Its aim is to investigate the impacts of different copula assumptions on optimal portfolios, when CVaR optimization is used. Strategic asset allocation perspective is supposed. It is demonstrated that copula functions...