This paper examines the impact of loan loss provisions (LLPs) on return predictability during 1994–2017. We find that average, LLPs are negatively associated with one year ahead stock returns. effect is particularly significant global financial crisis but much weaker Basel II and III periods. Consistent these findings, a long–short trading strategy based generates positive abnormal returns peri...

Abstract In this paper, we derive an analytical solution to the dynamic optimal portfolio choice problem in case of investor equipped with a power utility function wealth. The results are established by solving Bellman backward recursion under assumption that vector asset returns follows vector-autoregressive process predictable variables. empirical study, performance derived is compared one ob...