[This paper proposes a Gibbs Sampling approach to modeling returns on industry portfolios. We examine how parameter uncertainty in the returns process with regime shifts affects the optimal portfolio choice in the long run for a static buy-and-hold investor. We find that after we incorporate...

This paper analyzes the predictability of different style portfolio returns (a.k.a. Fama-French factors) considering time-varying sensitivities of these returns to different macroeconomic variables and own momentums. Styles, as used in this paper, can be defined as groups of securities with a...

This paper proposes a Gibbs Sampling approach to modeling returns on industry portfolios. We examine how parameter uncertainty in the returns process with regime shifts affects the optimal portfolio choice in the long run for a static buy-and-hold investor. We find that after we incorporate...

This paper examines the portfolio choice implications of incorporating parameter and model uncertainty in (conditionally) linear factor models using industry portfolios. I examine a CAPM, a linear factor model with different predictor variables (dividend yield, price to book ratio, price to...

This paper analyzes the predictability of different style portfolio returns. Styles, as used in this paper and Barberis and Shleifer (2003), can be defined as groups of securities with a common characteristic, such as value (Graham and Dodd (1934)) and size (Banz (1979)). I specifically look at...

We provide a first look at the performance of Chinese open-end mutual funds from 2001 to 2008 using data from a high quality mutual fund database provided by the GTA Information Technology Co., Ltd. From daily return data, we find that some Chinese open-end mutual funds can provide statistically...

In this paper, we use the matching emerging stock and bond market indices to examine the hedge fund returns in different emerging markets. Additionally, we show that including a simple day-to-day market volatility measure in our model helps to improve its explanatory power. Our results indicate...

The HODL ideology overgeneralizes the buy-and-hold strategy for risky assets, leading to potential harm in investor wealth accumulation and investor-advisor relations. It originates from misunderstandings of financial theories, empirical evidence, technical analysis, and market timing. I provide...