5 articles in this issue
Pradosh Simlai
In this paper we provide a new type of risk characterization of the predictability of two widely known abnormal patterns in average stock returns: momentum and reversal. The purpose is to illustrate the relative importance of common risk factors and endog... see more
Andrei Salem Gonçalves,Robert Aldo Iquiapaza,Aureliano Angel Bressan
We propose a single-factor mixed effects panel data model to create an arbitrage portfolio that identifies differences in firm-level latent fundamentals. Furthermore, we show that even though the characteristics that affect returns are unknown variables, ... see more
Leandro Maciel
Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibo... see more
André Alves Portela Santos,Cristina Tessari
In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization – and compare their performance with respect to a naive 1/N (or equally-weighted) por... see more
Marcelo Cabus Klotzle,Leonardo Lima Gomes,Luiz Eduardo Teixeira Brandão,Antonio Carlos Figueiredo Pinto
Since the fifties, several measures have been developed in order to measure the performance of investments or choices involving uncertain outcomes. Much of these measures are based on Expected Utility Theory, but since the nineties a number of measures ha... see more