All Outputs (3)

Does idiosyncratic volatility matter at the global level? (2018)
Journal Article
Umutlu, M. (2019). Does idiosyncratic volatility matter at the global level?. North American Journal of Economics and Finance, 47, 252-268. https://doi.org/10.1016/j.najef.2018.12.015

I test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. I offer four definitions o... Read More about Does idiosyncratic volatility matter at the global level?.

Strategies can be expensive too! The value spread and asset allocation in global equity markets (2018)
Journal Article
Zaremba, A., & Umutlu, M. (2018). Strategies can be expensive too! The value spread and asset allocation in global equity markets. Applied Economics, 50(60), 6529-6546. https://doi.org/10.1080/00036846.2018.1489523

Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996–2017. The value... Read More about Strategies can be expensive too! The value spread and asset allocation in global equity markets.

Less pain, more gain: Volatility-adjusted residual momentum in international equity markets (2018)
Journal Article
Zaremba, A., Umutlu, M., & Maydybura, A. (2018). Less pain, more gain: Volatility-adjusted residual momentum in international equity markets. Investment Analysts Journal, 47(2), 165-191. https://doi.org/10.1080/10293523.2018.1469290

We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country... Read More about Less pain, more gain: Volatility-adjusted residual momentum in international equity markets.