Author
Now showing items 1-20 of 23
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Alpha momentum and alpha reversal in country and industry equity indexes
(ELSEVIER, 2019)Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry ... -
Alpha momentum and alpha reversal in country and industry equity indexes
(Journal of Empirical Finance, 2019)Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry ... -
Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
(Routledge, 2021)We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the ... -
Does idiosyncratic volatility matter at the global level?
(ELSEVIER SCIENCE INC, 2019)I test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. ... -
Does idiosyncratic volatility matter at the global level?
(North American Journal of Economics and Finance, 2019)I test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. ... -
Financial Openness And Financial Development: Evidence From Emerging Countries
(2020)We investigate the potential relation between financial openness and financial development for 27 emerging countries for the period between 1996 and 2016. We focus on three dimensions of financial openness: capital account ... -
Idiosyncratic volatility and expected returns at the global level
(Financial Analysts Journal, 2015)The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally ... -
Idiosyncratic Volatility and Expected Returns at the Global Level
(CFA INST, 2015)The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally ... -
INTERACTION BETWEEN EQUITY TRADING OF VARIOUS INVESTOR TYPES AND MARKET RETURN
(EGE UNIV, FAC ECONOMICS & ADMIN SCIENCES, 2016)In finance literature, interaction or relationship between portfolio investments and index return were examined in many studies. However most of these studies were conducted at monthly or annual frequency with a restricted ... -
Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
(Investment Analysts Journal, 2018)We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset ... -
Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
(INVESTMENT ANALYSTS SOC SOUTHERN AFRICA, 2018)We offer a new type of momentum strategy - the volatility-adjusted residual momentum (VARMOM) - which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset ... -
Opposites attract: Combining alpha momentum and alpha reversal in international equity markets
(Journal of Investing, 2020)The authors offer a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international equity markets. Mixing both effects into a single blended alpha signal forms ... -
Option-implied volatility measures and stock return predictability
(Journal of Derivatives, 2016)Using firm-level option and stock data, we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio-level analysis ... -
Option-Implied Volatility Measures and Stock Return Predictability
(INST INVESTOR INC, 2016)Using firm-level option and stock data, we examine the predictive ability of option-implied volatility measures proposed by previous studies and recommend the best measure using up-to-date data. Portfolio-level analysis ... -
Return range and the cross-section of expected index returns in international stock markets
(Amer Inst Mathematical Sciences-AIMS, 2021)This study examines the cross-sectional relation between return range and future returns for the first time in literature. We show that the return range can serve as a very practical measure of total volatility instead of ... -
Size matters everywhere: Decomposing the small country and small industry premia
(North American Journal of Economics and Finance, 2018)We explore the country and industry size effects by decomposing market value into four components: short-term return, representing momentum; long-run return, representing reversal; composite issuance; and lagged market ... -
Size matters everywhere: Decomposing the small country and small industry premia
(ELSEVIER SCIENCE INC, 2018)We explore the country and industry size effects by decomposing market value into four components: short-term return, representing momentum; long-run return, representing reversal; composite issuance; and lagged market ... -
Stock-return volatility and daily equity trading by investor groups in Korea
(Pacific Basin Finance Journal, 2015)We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles ... -
Stock-return volatility and daily equity trading by investor groups in Korea
(ELSEVIER SCIENCE BV, 2015)We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles ... -
Strategies can be expensive too! The value spread and asset allocation in global equity markets
(Applied Economics, 2018)Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for ...
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