This paper provides a comprehensive analysis on stock return predictability in Santiago Stock Exchange from January … regrouping the stocks as small and large, low and high book-to-market, beta, and momentum according to the median values adds …, however, momentum is efficiently predicted their return. Momentum is significant only for the large stocks and low book …

provide recommendations for using machine learning methods in asset pricing. Additionally, I study return predictability over …

autocorrelation coefficients are estimated. The test results support the theory of short-term momentum and long-term trend reversal … investor behavior with short-term momentum and long-term trend reversal is given. Hereupon an empirical test using detrended … display short-term momentum and trend reversal in the long-run. For this purpose augmented Dickey-Fuller tests and partial …

In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox …. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided … by standard deviation). We calculate the theoretical IR of a momentum strategy, and show that if momentum is mainly due …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial …