The proposition that investors are overconfident about their valuation and trading skills can
explain high observed trading volume. With biased self-attribution, the level of investor …

At the beginning of each month from January 1968 through December 2005 (456 months),
we estimate a covariance matrix for the 1,000 largest market capitalization US stocks with 60 …

We document a directional asymmetry in the small stock concurrent and lagged response to
large stock movements. When returns on large stocks are negative, the concurrent beta for …

Active portfolio management is typically conducted within constraints that do not allow managers
to fully exploit their ability to forecast returns. Constraints on short positions and turnover…

A new testable implication is derived from the rational speculative bubbles model stating
that the presence of bubbles implies positive duration dependence in runs of high returns. …

The performance of equity portfolios optimized to have the lowest possible variance has
attracted investor attention over the last several years. Minimum-variance strategies address an …

This paper presents evidence that business cycles are characterized by ‘sharp’ troughs and
‘round’ peaks. Changes in growth rates surrounding NBER troughs are found to be larger …

This paper uses a Markov chain model to test the random walk hypothesis of stock prices.
Given a time series of returns, a Markov chain is defined by letting one state represent high …

Analytic solutions to risk parity, maximum diversification, and minimum variance portfolios
provide useful perspectives about their construction and composition. Individual asset weights …

Six Asian stock markets (Hong Kong, Japan, Korea, Malaysia, Thailand and Taiwan) and the
US stock market are evaluated for evidence of rational speculative bubbles using two types …