Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk. These signals can be integrated into existing strategies...

A call auction is a form of trading that died out in the pre-computer age but has made its reentrance in electronic markets and is currently a significant component of major stock markets globally. In contrast with a continuous market where a transaction is made any time a buy and sell order...

This paper demonstrates that the effects of unanticipated monetary policy changes (shocks) on real estate investment trust (REIT) returns are asymmetric between the high- and low-variance regimes. A Markov regime-switching model with error correction terms is used to quantify the impact of...