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...

In recent years the rapid development of complex network theory has provided a new angle on the vulnerability analysis of a power grid. However, current analysis models are usually general ones that may ignore some specific features of power systems. In order to address the issue, this paper...

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...

This paper examines the performance of active US domestic real estate mutual funds (REMFs) relative to a passive benchmark, both before and after fund managers' compensation. We consider both the REMF sector as a whole, and also individual funds, separately against stock market and real estate...

Jiangsu Province is one of the planned strategic areas for wind power development in China, but its current development of wind power industry is not so outstanding. Since, Jiangsu would encounter little market resistance, this paper focuses on the evaluation of resource capacity for wind power...