This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset allocation. Based on machine learning and model averaging approaches, we integrate the drivers’ predictive information to forecast market volatilities. Using various evaluation...

This paper highlights the use of a new strategic approach within a quantitative investment methodology in the context of making prudent asset allocation decisions. Three asset classes will frame the dynamic asset allocation discussion: Equities, Fixed Income, and Hedge Funds. The quantitative...

This study examines whether “a high dividend yield is equivalent to a high return”. For constructing a proposed portfolio, we use the panel data of listed companies' dividends in six consecutive quarters, and other financial data to estimate expected current yields, which more conform to...

This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully...

Is univariate or multivariate modelling more effective when forecasting the market risk of stock portfolios? We examine this question in the context of forecasting the one-week-ahead Expected Shortfall of a portfolio invested in the Fama-French and momentum factors. Apply ingextensive tests and...

This study investigates whether firm opacity impacts the investment behaviors and outcomes of retail investors using the fintech brokerage Robinhood (i.e., “RH investors”). We theorize that higher firm opacity leads RH investors to make nonrational investment decisions. The testable...

In a recent empirical study by Glabadanidis ("Market Timing With Moving Averages" (2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper is also available on the SSRN and has been downloaded more than 7,500 times) the author reports striking evidence of...

In this paper we consider the question of how to improve the efficacy of strategies designed to capture factor premiums in equity markets and, in particular, from the value, quality, low risk and momentum factors. We consider a number of portfolio construction approaches designed to capture...