We examine the profitability of a cross-asset time-series momentum strategy (XTSMOM) constructed using past crude oil options and stock market returns as joint predictors. We show that past crude oil options straddle returns negatively predict while past stock returns positively predict future...

This paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain switching rule. This represents a more flexible, intuitive, and parsimonious...

This paper examines the style-based feedback trading behavior of mutual fund managers. We provide an empirical version of the model for style-switching behavior of Barberis and Shleifer (2003). We find style-based feedback trading for 77% of the funds, half of which is positive- (negative-)...