The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0....

This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern...

The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to...

We construct portfolios based on characteristic weights and develop a novel way to measure capacity of these portfolios to absorb capital. Our estimates suggest that portfolio capacity is the highest for fundamental-weights, whereas portfolios based on momentum, equal risk budget, and equal...

Duration is an important parameter used by investors to choose between different investment opportunities in financial economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is becoming more relevant in the recent period, due...

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to...

Many investors occasionally receive what they believe to be nonpublic information about a security. Others feel that by applying superior analytical skills to public information, they are able to arrive at valuable insights that are not generally appreciated. In either case, there is a...

The hedge fund industry has grown from $200 billion in assets under management around the turn of the millennium to now over $3 trillion. Many reports have criticized hedge funds for poor performance, particularly since the 2008 global financial crisis (GFC). In this paper, I seek to demystify...