monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …

This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa … volatility. This relationship remains robust in long-short portfolios, even after controlling for risk factors in the capital … highlight that increased investor attention amplifies both intra-sector and inter-sector risk spillovers, particularly in the …

, an investment model is developed where stocks are selected based only on market intelligence using historical data. The … model helps find one or several stocks that generate the highest return on a separate step. Applying this model, experiments …

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …

stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …

Beta-sorted portfolios—portfolios comprised of assets with similar covariation to selected risk factors—are a popular … empirical application we introduce a novel risk factor—a measure of the business credit cycle—and show that it is strongly …

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described … level in 2002 and at 10% significance level in 2000. -- Risk Aversion ; Pricing kernel …

This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum … strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in ….84%. We find additional supportive out-of sample evidence for our risk-based momentum explanation in a sample of 23 …