If returns on some stocks systematically lead or lag those of others, a portfolio strategy that sells "winners" and buys "losers" can produce positive expected returns, even if no stock's returns are negatively autocorrelated as virtually all models of overreaction imply. Using a particular...

This paper develops tests of unconditional mean-variance efficiency under weak distributional assumptions using a generalized method of moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed...

The predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not enter the option pricing formula. For discretely sampled data, predictability is linked to the parameters that do enter the...

Purpose – The purpose of this paper is to analyse regulatory reform in the wake of the financial crisis of 2007-2008. Design/methodology/approach – The paper proposes a framework for regulatory reform that begins with the observation that financial manias and panics cannot be legislated...

A test for long-term memory that is robust to short-range dependence is developed. It is a modification of the R/S statistic, and the relevant asymptotic sampling theory is derived via functional central limit theory. Contrary to previous findings, when applied to daily and monthly stock returns...