Abstract Kolari, Liu, and Huang (2021) recently proposed and empirically tested a new asset
pricing model dubbed that ZCAPM that consistently outperformed popular multifactor models …

Research on accounting accruals is pervasive. Yet the measurement and modeling of
accruals has developed in an ad hoc manner, resulting in a fragmented and incomplete …

In this paper, a probabilistic form of the portfolio selection problem is established in which
the uncertainty of risky assets is considered through a probabilistic optimization problem. To …

In a recent book, Kolari et al. developed a new theoretical capital asset pricing model
dubbed the ZCAPM. Based on out-of-sample cross-sectional tests using US stocks, the …

We employ bivariate and multivariate nonlinear causality tests to document causality from
equity return dispersion to stock market volatility and excess returns, even after controlling …

This paper explores why the size effect vanished after the early 1980s. We show that the
size effects are significantly positive primarily at the bottom of the business cycles. More …

The time series momentum strategy, previously known as trend following, has been shown
to deliver consistent profitability over a long time horizon in futures markets. Funds pursuing …

Stock returns can have positive and negative sensitivity to the cross-sectional standard
deviation of returns or return dispersion (RD). To capture asymmetric RD effects, we propose …

Purpose The purpose of the study is to investigate the possible role of annual report
readability in accrual anomaly, shedding light on why investors fail to incorporate accruals …

We examine whether the stock market premium assigned to meeting or beating analyst
estimates of cash flows from operations (hereafter,“CFO”) has changed after the publicized …