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Asset Allocation With a High Dimensional Latent Factor Stochastic Volatility Model
We investigate the implications of time-varying expected return and volatility on asset allocation in a high dimensional setting. We propose a dynamic factor multivariate stochastic volatilityExpand
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Market intraday momentum
Based on high frequency data of the S&P 500 ETF from 1993-2013, we document an intraday momentum pattern: the first half-hour return on the market predicts the last half-hour return. TheExpand
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A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
In this paper, we document that an application of a moving average timing strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that substantiallyExpand
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Liquidity Biases and the Pricing of Cross-sectional Idiosyncratic Volatility
We examine the cross-sectional relation between idiosyncratic volatility and stock returns and propose that the joint effect of the percentage of zero returns, that affects the loading on theExpand
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A trend factor: Any economic gains from using information over investment horizons?
In this paper, we provide a trend factor that captures simultaneously all three stock price trends: the short-, intermediate-, and long-term, by exploiting information in moving average prices ofExpand
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Horses for Courses: Fund Managers and Organizational Structures
This paper considers the team management of mutual funds, fund manager ability, fund performance, and holdings. We find evidence suggesting a positive relation between fund performance and teamExpand
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What Firm Characteristics Drive US Stock Returns ? ∗
Green, Hand, and Zhang (2017) conclude that twelve firm characteristics determine US stock returns prior to 2003, while only two characteristics affect returns after that. Instead of using linearExpand
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Asset Allocation with a High Dimensional Latent Factor Model ∗
This paper investigates implications of both time-varying expected return and volatility on the asset allocation problem in a high dimensional setting. We propose a dynamic latent factor multivariateExpand
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Do Underrepresented Minority Medical Students Differ From Nonminority Students in Problem-Solving Ability?
Background: In medical education, examinations must assess a logical progression toward problem-solving skills. Differences in cognitive development between underrepresented minority students (URMs)Expand
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Taming Momentum Crashes: A Simple Stop-Loss Strategy
In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that theExpand
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