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History provides plenty of examples of individual sectors reaching unsustainable market capitalizations relative to the total value of the market. When these sector weights fall back, it can be catastrophic for investors. Examples include energy in the early 1980s, the post millennium tech bust...
This article proposes a new empirical methodology for computing a cross-market volatility index – coined CMIX – based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...
The authors propose a robust optimisation approach to construct realistic constrained multi-strategy portfolios that starts with the identification of different sources of excess returns and the risk-budgeting exercise to optimally combine them. They show how systematic factor strategies can be...
This article investigates the relationship between value premium and financial distress using a long US data set over 1927–2011. The measures of leverage and default are used as proxies for financial distress when applying a time-varying volatility methodology. The article examines the potential...
We present a model of expected returns when assets have different β’s in up and down markets. Using no-arbitrage argument, we show that upside and downside β’s are priced separately, and their risk premiums can be expressed in terms of the price and expected payoff of a call and a put option,...
In this article, we examine a broad sample of socially responsible (SR) and conventional mutual funds with respect to financial and ethical parameters. We cannot document profound differences in their financial performance. With regard to ethical performance, we indeed find that an investor who...
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