The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

This paper investigates whether equity indices of 24 emerging and 28 developed markets compensate their investors equally after taking risk into account, and examines the predictive power of reward-to-risk ratios for expected market returns. We place special emphasis on downside risk by...

We study time-varying price leadership between international stock markets using a Markov switching causality model. We demonstrate variations in the causality pattern over time, with the US being the dominant country in causing other markets. We examine the factors which determine a country's...

While the synchronization of business cycles has been much studied in the literature, housing prices' synchronization has not. In this paper we study the determinants of the housing prices' synchronicity for a variety of advanced and emerging countries. In order to do so, we rely on...

Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...

This paper examines the annual risks and returns of three disparate, hypothetical merger arbitrage portfolio strategies as an attempt to capture alpha from an in-sample study of 793 global M&A transactions covering the January 2000 thru December 2016 time period. Previously written and...

We study the returns of stocks from twenty-one frontier markets divided into the four regions of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking portfolios based on market capitalization (SMB), book-to-market equity (HML), and momentum (WML) are constructed...

We investigate execution quality issues in the OTC single-name credit default swap (CDS) market using confidential transactions-level trade repository data. Specifically, we analyze the impact of counterparties' matching and negotiation abilities on the terms of trade of CDS contracts, under...

Gold objects have existed for thousands of years but for many investors gold has only recently become a tradable investment opportunity. Gold has been described as an inflation hedge, a “golden constant”, with a long run real return of zero. Yet over 1, 5, 10, 15 and 20 year investment...

When value and glamour stocks missed earnings expectation targets, what happened to their stock prices over the following year? Prices of value stocks increased when earnings expectations were beat and missed - and even when business fundamentals deteriorated. Glamour stocks behaved more...