AL MAKTOOM STREET
United Arab Emirates
University of Dubai
short-term momentum, short-term reversal, early asset prices, long-term historical returns, equities, government bonds, treasury bills, currency, commodities
alpha momentum, alpha reversal, international investment, country momentum, country reversal, industry momentum, industry reversal, asset pricing, the cross-section of returns return predictability, equity anomalies
Herding, Market Breadth, Return Predictability, Asset Pricing, Portfolio Allocation
government bonds, return seasonality, macroeconomic risk, asset pricing, calendar anomalies
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File name: SSRN-id3359589.pdf
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forecasting, multilayer perception (MLP), recurrent neural network (RNN), radial basis function (RBF), optimizers
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