In intertemporal asset pricing models, transaction costs are usually neglected. In this paper we explicitly incorporate transaction costs in these models and analyze to what extent this extension is helpful in explaining the cross-section of expected returns. An empirical analysis using CRSP...

In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S\&P 500 index and its volatility. Using monthly data from 1954 to...

We investigate two alternative explanations why men may hold more stocks than women do. Apart from the traditional explanation of a gender difference in risk aversion, gender differences in either optimism or in perceived risk of financial markets might cause men to hold riskier assets. Our...

In this paper we analyze the persistence of US REITs over the period 1990-2005. By employing a novel methodological approach we shed new light on whether investors can pick winners by simply looking at past performance. The private real estate industry is notorious for its lack of informational...

This paper studies whether time series predictability is consistent with risk-based asset pricing models. Whereas earlier papers - e.g. Kirby (1998), Cecchetti, et al. (2000) and Avramov (2004) - show that returns are too predictable to be explained by rational asset pricing, we find that the...

This study extends research on the day-of-the-week effect towards European real estate indices. We examine this anomaly for several European securitized real estate index returns between 1990 and 2003. Although the countries under analysis have unique country-specific patterns, we find that...

We model the dynamic interaction between stock and bond returns using a multivariate model with level effects and asymmetries in conditional volatility. We examine the out-of-sample performance using daily returns on the S&P 500 index and 10 year Treasury bond. We find evidence for...