Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...

This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily Gold and Oil price data over the period 01.01.2009-31.03.2020 the following hypotheses are tested: H1) there are...

Since oil prices are typically governed by nonlinear and chaotic behavior, it's become rather difficult to capture the dominant properties of their fluctuations. In recent years, unprecedented interest emerged on the decomposition methods in order to capture drifts or spikes relatively to this...

We re-examined the seasonal pattern in the excess returns of highly visible American firms. In contrast to the seasonality for risky, less visible firms, we found that highly visible stocks display return seasonality that shows the opposite trend. Fund managers are prone to gamesmanship, putting...

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...

This paper provides novel insights into the dynamic properties of variance and semivariance premia. Considering nine international stock market indices, we find consistent evidence of significantly negative total and downside (semi)variance premia of around -15 bps per month. These premia almost...

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...

This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...