We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. In contrast to previous work, we use a scaled stochastic discount factor instead of scaled or managed portfolio returns. Our...

ABSTRACT This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long‐run relationship. Moreover, changes in sentiment towards...

In this paper I develop the asset pricing model in which the wealth portfolio is enriched with human capital and housing capital. These two types of capital account for a significant portion of the total wealth. Additionally I introduce dynamics into the model and represent conditioning...

Using copulas, we investigate the pairwise dependence structures between two risk factors, oil price and aggregate market index price, and the US oil and gas sub-sector indices. We also explore the out-of-sample hedging performance of a hedging strategy by minimizing the conditional...

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning...

We use a consumption-based asset pricing model with Epstein-Zin-Weil recursive preferences to explain the cross-section of excess returns on nominal US Treasury bond portfolios. We use a novel approach to extract the model factors from a FAVAR using a large panel; of macro and financial data. We...

This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity...

We examine the performance of global active real estate mutual fund (REMF) industry as a whole and at individual fund level, relative to the global real estate and stock markets, and both before and net of expenses. We have used the cross-sectional bootstrap to separate genuine skills from luck....

We firstly examine the performance of active sector funds as a whole as equal- and value-weighted portfolios, against a stock market benchmark (Carhart four-factor model), an associated sector market benchmark, and the combined five-factor model benchmarks. We consider the gross and net returns...