Recent studies show that most financial market anomalies exhibit a momentum effect. Based
on two datasets,(i) an original 22‐factor sample and (ii) a more comprehensive 187‐factor …

Is asset pricing integrated across Islamic and non-Islamic stocks? To answer this question,
we identify and replicate 167 equity anomalies from the finance literature in over 1500 …

We study probability forecasts in the context of cross-sectional asset pricing with a large
number of firm characteristics. Empirically, we find that a simple probability forecast model …

Recent literature shows that momentum strategies exhibit significant downside risks over
certain periods, called “momentum crashes”. We find that high uncertainty of momentum …

Motivated by the deteriorating performance of traditional cross-sectional momentum
strategies in commodity futures markets, we propose to resurrect momentum by …

In this paper, we analyze the momentum of the NASDAQ and its major sectoral components
across an extended period of key economic events, which include recessions, expansions …

Economic policy uncertainty has been identified as a new macroeconomic risk factor that
harms the stock market's profitability. This paper examines the impact of the Chinese EPU …

We document that the attention-return relation in the gold spot market is sensitive to market
states since we identify a positive (negative) association between returns and …

This paper empirically studies the reversal pattern following the formation of trend‐following
signals in the time series context. This reversal pattern is statistically significant and usually …

This paper examines direction-of-change predictability in commodity futures markets using a
variety of binary probabilistic techniques. As well as traditional techniques, we apply …