We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of returns. Evidence is based on statistical tests for...

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...

The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alternative risk models to forecast Value-at-Risk (VaR)....

We propose that speculative trading arising from the joint effect of investor disagreement and short-sale constraints plays an important role in explaining the idiosyncratic volatility (IVOL) puzzle, the correlation among IVOL, market beta and trading volume, and the co-movement of IVOL....

This paper proposes a novel portfolio strategy over individual stocks based on subset combination of a large number of characteristics documented to predict return. Akin to the forecast combination literature, we exploit all characteristics by combining parametric rules that include a particular...