We study the performance of diamonds compared to gold and other precious metals in mitigating the tail risk of a diversified equity market portfolio over the period June 2007 to October 2018. Our results display a diversification benefit of some diamond indices, which also improve the portfolio...

We present the sector-based news sentiment indices, which track, for a given industry or sector, the current media sentiment about this sector. The sentiment index for a particular sector has a natural relationship to the basket of stocks of publicly traded companies operating in this sector or...

We investigate whether a simple long-short weekly trading strategy based on mispricing among ETNs generates profits in excess of the S&P 500 over the sample period of June 6, 2006 to January 30, 2012. Ignoring transaction costs, liquidity, and short selling constraints we find the following. (1)...