In this analysis of the risk and return of stocks in the United States and global markets, we apply several portfolio construction and optimization techniques to U.S. and global stock universes. We find that (1) mean-variance techniques continue to produce portfolios capable of generating excess returns above transaction costs and statistically significant asset selection, (2) optimization tech...

In this study, we built a network for the US stock market based on the correlation of different stock returns. Community detection techniques were then applied to the constructed correlation network. The resulting communities were consistent with the identified market sections using Standard Industrial Classification code, which demonstrates that performances of public stocks within the same se...

T he measurement of the " average " price of common stocks is a matter of widespread interest. Investors want to know how " the market " is doing, and to be able to compare their returns with a meaningful benchmark. Money managers often have their compensation tied to performance, typically measured by comparing their results to a benchmark portfolio, so they and their clients are interested in...

Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year. Small retail investors drive this result. Retail ownership breadth increases appear to be correlated with...

This paper first documents that in the U.S., the stock market participation rate over the life-cycle decreases as people age. This fact, however, can not be captured by standard model where smooth expected utility function predicts the decision maker stay in the stock market, given positive equity premium and independence between older people’s non-asset income and stock return. This paper succ...

Using high-frequency data and a carefully constructed 1-1 matched sample of control (non decimal) stocks, we isolate the effects of decimalization for a sample of NYSE-listed common stocks trading in decimals. We find that both quoted and effective bid-ask spreads and depths have declined significantly following decimalization. Both trades and trading volume have declined significantly in all t...

Study of volatility has been considered by the academics and decision makers dur-ing two last decades. First since the volatility has been a risk criterion it has been used by many decision makers and activists in capital market. Over the years it has been of more importance because of the effect of volatility on economy and capital markets stability for stocks, bonds, and foreign exchange mark...

This study constructs a panel threshold regression model to explore the price impact of foreign institutional herding of firms listed in the Taiwan Stock Exchange during January 2000 to June 2008. Our panel threshold model is constructed to explore the price impact of foreign institutional investors’ herding in the Taiwan stock market after controlling the firm size. By examining the presence o...

one of known methods for measuring, forecasting and managing risk is value at risk, which recently has been used by financial institutions extensively. value at risk (var) is a method for recognizing and evaluating risk and uses standard statistical techniques that have daily using in other contexts. this research is seeking a career for managing investment risk in stock exchange and selection ...