Ferguson and Shockley (2003. Equilibrium 'anomalies'. Journal of Finance 58: 2549-2580) develop a theoretical model and argue that size and book-to-market (B/M) effects in stock returns derive their cross-sectional explanatory power because they proxy for leverage and financial distress. Using...

The selection of investments held in dedicated pension or insurance asset portfolios should be liability-driven. Techniques have been developed to hedge or immunize single liabilities from the effects of a variety of yield curve changes. In this paper, we extend these results to a more relevant...