In this paper we document that at the aggregate stock market level the unexpected volatility is negatively related to expected future returns and positively related to future volatility. We demonstrate how the predictive ability of unexpected volatility can be utilized in dynamic asset...

For US investors, international equity exposure has never been so readily available at such a low cost. Nonetheless, surveys indicate US investors typically allocate 80–85% of their equity holdings to US equities, much higher than their proportion of global market value. In this note we...

This paper studies a basket of risk statistics that are widely used to measure investment performance. Those risk statistics were used to rank the performance of the assets. The dependent information was removed from the set of risk measures that were used in the test. The risk statistics were...

We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments' time-series and cross-sectional properties. We investigate if this week's realized moments are informative for the cross-section of next week's stock returns. We...

The last financial crisis sheds dramatically light on the instability threatened by systemic risk. In this regard no common view appears to exist on the definition, the measurement and real impact on financial system. This paper aims to analyze the relation between systemic risk and portfolio...

The well-known difficulties in obtaining satisfactory results with Markowitz' intuitive portfolio theory have lead to an innumerable amount of proposed advancements by researchers and practitioners. As different as these approaches are, they typically appear to exhibit a satisfactory...

The European Markets Infrastructure Regulation (EMIR) allows to burden a clearing obligation on non-financial corporates, which formerly did not necessarily clear their business. We give ten recommendations on how to cope with this obligation. These are motivated by a case study for which we...

French Abstract: Nicolas Firzli nous fait partager certains des travaux menés par le World Pensions Council (WPC) et résume ici une partie des interventions du G7 Pensions qui s'est tenu fin août dernier, en marge du Sommet du G7 de Biarritz. Il livre des pistes de réflexions précieuses...

I investigate the relationship between measures of skewness and expected stock returns. Forcing the data to fit a linear model, past research finds only a negative relationship between these variables. Using a novel methodology that endogenously estimates breakpoints in the relationship between...

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...