This paper examines the combined role of momentum and term structure signals for the
design of profitable trading strategies in commodity futures markets. With significant …

We estimate investable comoment equity risk premiums for the US markets. The stock's
contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a …

We investigate conditional specifications of the five-factor Fama-French (FF) model,
augmented with traditional illiquidity measures. The motivation for this time-varying …

We examine whether the increase in the flow of capital to hedge funds over the period 1994–
2005 had a negative impact on performance. More specifically, we study the relative …

Concerns about the internal governance of hedge funds have dramatically increased in
recent years.'During the financial crisis of 2008, investors became frustrated when numerous …

In the setting of a dynamic panel data framework, we investigate the international five‐factor
Fama–French (2017) model augmented with traditional illiquidity factors (Amihud, Journal of …

This article examines the role of nonnormality risks in explaining the momentum puzzle of
equity returns. It shows that momentum profits are not normally distributed and, relatedly …

Although there is a large literature documenting the profitability of momentum strategies,
their implementation is afflicted with many difficulties. Most importantly, high turnover and …

This paper examines the dynamic of Hedge Funds. Structural change tests indicate a
timevarying structure. A linear factor model with time-varying coefficients shows that the …

Recently there has been an increasing trend in the quantitative finance community to call for
statistical models which are explicitly model returns with non-normal probability distributions …