This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond prices are often stale due to their lack of liquidity, and price discovery may occur in ETFs and then in underlying bonds. As predicted, we find that ETF returns predict its own...

This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian's (2009) oil price shocks of different origin...

Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...

We investigate the use of machine learning techniques into building statistically stable systematic allocation strategies. Traditionally, allocation processes usually rely on variations of Markowitz framework such as Mean Variance allocation, Maximum Diversity, Risk Allocation , Value at Risk,...

What is the market impact of predictable order flow? Leveraged exchange-traded products are useful for answering this question because they generate daily rebalancing flows whose size, sign and timing are predictable. This paper presents new evidence from the market for leveraged volatility...

Bitcoin has been described as a decentralized, partially anonymous, virtual currency, not backed by any government or other legal entity. Bitcoins are highly liquid, have low transaction costs, and are very volatile. This paper will look at the behavior of the value of Bitcoins, forecast the...

This paper documents a significant time-series momentum effect that is consistent and robust across all examined conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in developed and emerging markets, but this is no longer the...

The role of public sentiment in stock market volatility has recently become increasingly relevant. Twitter, in theory, offers an inexpensive way to measure real-time public sentiment. We take advantage of a natural experiment to assess the potential improvement that social media adds to forecast...

This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market, volatility, and VOV as factors, the risk premium on VOV is...

We study whether option-implied conditional expectation of market loss due to tail events, or tail loss measure, contains information about future returns, especially the negative ones. Our tail loss measure predicts future market returns, magnitude, and probability of the market crashes, beyond...