Outputs (2)

Return explanatory ability and predictability of non-linear market models (2007)
Preprint / Working Paper
Hung, D. Return explanatory ability and predictability of non-linear market models

Recent literature supports the pricing of higher-order systematic co-moments of returns. This paper provides some support for the quadratic-market model that is consistent with the three-moment CAPM in explaining time-series returns of the winner and... Read More about Return explanatory ability and predictability of non-linear market models.

Exploiting predictability in international anomalies (2007)
Preprint / Working Paper
Basu, D., Hung, D. C.-H., & Stremme, A. Exploiting predictability in international anomalies

We construct unconditionally e±cient asset allocation strategies that ex- ploit return predictability of international size and momentum portfolios. The strategies achieve comparable returns to these investment assets while exhibit- ing much lower vo... Read More about Exploiting predictability in international anomalies.