bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …

‘Bold Asset Allocation’ (BAA). BAA combines a slow relative momentum with a fast absolute momentum and crash protection … assets in the canary universe has negative absolute momentum. As a result, BAA spends ca 60% in the defensive universe. By …

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on … actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures … multiperiod portfolio gross returns. We apply our methodology to test the gross return predictability of various financial series …

This paper attempts to develop a theory of statistical equilibrium based on an entropy-constrained framework, that …

Theory (APT) approach. The macro factors studied are an aggregate of 41 indicators of stock market index returns, benchmark …

Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict … significantly over time, even at short horizons over which the momentum phenomenon operates (one year), and that this variation … conditional risk exposure can ex- plain a sizeable fraction of momentum and long-term reversal returns and can be used to generate …

Cross-firm predictability among economically linked firms can arise when both firms exhibit own-momentum and their … (momentum) and news components. Sorting on each, we find that both sources contribute almost equally to 1-month predictability …, while commonality in momentum is solely responsible for longer-horizon cross-firm predictability …