This authoritative two-volume collection brings together a comprehensive selection of over 40 previously published articles which include seminal and recent contributions in the area of speculation and financial markets. The volumes present the key theoretical and applied research in the pricing...

This paper examines the practical implications of using high-frequency data in a fast and frugal manner. It recognises the continued widespread application of model free approaches within many trading and risk management functions. Our analysis of the relative characteristics of four model-free...

This article examines return momentum in Irish shares over a 24-year period, including the recent credit crisis. The optimal momentum strategy generates significant risk-adjusted abnormal returns that are robust to the return generating model and seasonal effects. The extent of underreaction is...

This article investigates the performance of Spanish pension funds using a range of linear and nonlinear performance models. As the sample presents characteristics of higher-order moments, traditional performance measures are distorted. We generate alternative performance models which include...