This paper sheds light on the similarities and differences with respect to the presence of
anomalies in the China A-share market and other markets. To this end, we examine the …

The underlying literature hypothesises and provides randomised evidence for the positive
impact of promoting the broad-based inclusion, empowerment, and representation of …

We examine factors in a novel dataset on the cross-section of emerging market hard
currency corporate bonds. We find that the size, low-risk, value, and momentum factors …

A comprehensive examination of long-only factor investment strategies for the Korean stock
market is presented. Negative exposures to unintended factors that detract from the …

In the field of quantitative finance, volatility models, such as ARCH, GARCH, FIGARCH, SV,
EWMA, play the key role in risk and portfolio management. Meanwhile, factor investing is …

We present a set of models relevant for predicting various aspects of intra-day trading
volume for equities and showcase them as an ensemble that projects volume in unison. We …