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....

We examine mutual fund market timing based on beta asymmetry from dynamic conditional correlation (DCC) model. We find significant timing using daily returns rather than monthly returns. The sensitivity of our findings to data frequency is consistent with funds altering their market exposure at...

We find that a large portion of U.S. equity mutual funds almost second-order stochastically dominates the market portfolio. Consistent with the canonical definition of second-order stochastic dominance, both fund investors and managers reveal their preference for funds with a higher degree of...

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...