To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset … time series momentum of moving averages over short-time horizons and reversal significantly outperforms, both in-sample and … out-of-sample, the S&P500 and pure strategies based on either time series momentum or reversal only. The results are …

investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting … significant out-of-sample predictability for many industries. Real-time portfolio-rotation strategies that buy industries with …

returns, a significant impact of financial shocks, excess return predictability, and asset price momentum and reversal …

aversion (CARA) agent, who faces execution costs when trading correlated risky assets with return predictability. The optimal … studies show that the execution costs diminish the importance of asset return predictability on the agent's optimal investment …

concentrates on the predictive power of aggregate cross-sectional or macroeconomic predictors, I analyze the return predictability …

risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability …. -- Aggregate relative risk aversion ; Equilibrium asset price processes ; Excess Volatility ; Return predictability ; Stock market …

return, size, value, momentum, low beta and quality. I find predictability for the low beta factor and moderate …This article comprehensively reviews the predictability of six equity factors. These factors are the market excess … predictability for the size factor. The results for other factors are mixed. Moreover, predicted returns for the market, size, value …

-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in … stock prices and return predictability over periods longer than 10 years. Specifically, using 141 years of data, this paper …