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Abstract This paper examines the moments of the active return distributions of investment managers. While modern portfolio theory assumes asset return distributions are Gaussian normal, the empirical evidence overwhelmingly documents asset returns to be leptokurtic and fat tailed. In addition,...
Abstract Traditional conditional asset allocation involves using key past economic and financial data to produce forecasts of expected returns for the various asset classes involved in the asset allocation decision. Ordinarily these are point forecasts and little or no use is made of the...
Abstract This paper investigates the benefits of additional international diversification into emerging stock markets, from the point of view of a US investor. The increase in risk-adjusted returns with exotic currencies (compared with a benchmark portfolio of only major currencies investments)...
Abstract This paper analyses a three-state Markov switching model with time-varying transition probabilities. The transition probabilities are modelled as functions of portfolio flows at a daily frequency. The evidence supports the hypothesis that currency market behaviour is characterised by...
Abstract It is now exactly 20 years since the publication of the two pioneering papers — Banz, R. (1981) ‘The Relationship between Return and Market Value of Common Stock’, Journal of Financial Economics, 9, 3–18, and Reinganum, M. (1981) ‘Misspecification of Capital Asset Pricing: Empirical...
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