The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique...

In this paper, we propose a new Volatility-Spillover-Asymmetric Conditional-Auto-Regressive-Range (VS-ACARR) approach to model/forecast Bitcoin’s volatility (Price-range). Traditionally, CARR models are uni-variate but we introduce volatility spillover from another series (Crude oil) in the...

This study aims to offer a new explanation for the momentum effect in international government bonds. Using cross-sectional and time-series tests, we examine a sample of bonds from 22 countries for the years 1980 through 2018. We document significant momentum profits that are not attributable to...

We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional...