We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not...

In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...

The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...

Machine learning is an increasingly important and controversial topic in quantitative finance. A lively debate persists as to whether machine learning techniques can be practical investment tools. Although machine learning algorithms can uncover subtle, contextual and non-linear relationships,...

The aim of this paper is to investigate the empirical relationship between daily fluctuations in the risk premium for holding a large diversified credit portfolio, which we approximate by a benchmark credit index, and some tradeable market factors which capture systematic risk. The analysis is...

Firms with similar characteristics display similar expected returns. Defining neighbouring assets as those with the most similar set of characteristics, I show that past returns of an asset's neighbours predict its future expected returns. If a majority of an asset's neighbours have performed...

We present empirical evidence that collective investor behavior can be inferred from large-scale Wikipedia search data for individual-level stocks. Using Shannon transfer entropy, a model-free measure that considers any kind of statistical dependence between time series, we investigate the...

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...

Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product could identify potential overvaluations and undervaluations in the US equity market. We investigate whether this ratio is a statistically significant predictor of equity market...