In this paper we study the economic value of predicting the equity risk premium using market variables that reflect the positions of traders in futures and derivatives market. The economic value is ascertained by studying the performance of market timing strategies that use the positions of...

In this paper we study the economic value of predicting the equity risk premium using market variables that reflect the positions of traders in futures and derivatives market. The economic value is ascertained by studying the performance of market timing strategies that use the positions of...

The failure of the static-beta CAPM to explain the cross-section of returns on portfolios sorted on firm size, book-to-market ratio, momentum, and even portfolios sorted on past CAPM betas, is well documented. In this paper we show that the model's performance dramatically improves when...

We construct unconditionally efficient asset allocation strategies that exploit return predictability of international size and momentum portfolios. The strategies achieve comparable returns to these investment assets while exhibiting much lower volatility. They largely avoid major losses by...