In a true out-of-sample test based on fresh data we find no evidence that several well-known
technical trading strategies predict stock markets over the period of 1987 to 2011. Our test …

This paper examines two potential key drivers of the financial strength (F-Score) investment
strategy: information uncertainty and liquidity. We use novel, direct measures of information …

We study the persistence over time of nine well-known equity market anomalies in the cross-
section of UK stocks. We find strong evidence of diminished statistical significance for most …

Academics and practitioners have frequently debated the relationship between market
capitalization and expected return. We apply the Markowitz efficient frontier approach to …

It is common practice in corporate valuation with discounted cash flow models to refer to the
Capital Asset Pricing Model (CAPM) to estimate the rate of return required by investors …

This study presents evidence that well-known technical trading rules (TTRs) applied to a
proposed simple exchange-traded fund (ETF) portfolio provide better risk-adjusted …

We assess returns and risks to private equity investors from 35 European countries for the
time interval of 1996-2008. We find that returns to private equity are significantly higher than …

In this paper, we apply an updated Coppock trading rule and four trading strategies to two
energy ETFs, United States Oil (USO) and United States Gasoline Fund (UGA), using weekly …

This empirical study employs a different methodology to examine the change in wealth
associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the …

Research across international markets identifies lottery-like stocks that contradict the
standard positive risk-return trade-off paradigm. This paper, consistent with those results …