Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits, we exploit the duality between Hansen-Jagannathan...

The predominant tradition in the literature is to scrutinise the competitive performance of passive and active investment strategies with less regard to the prevailing market climate. The thesis of this paper is that volatile market conditions may necessitate investment strategy adjustments....

The importance of asset allocation decisions in wealth management is well established. However, given its importance it is perhaps surprising that so little attention has been paid to the question of whether professional fund managers are skillful at timing market movement across asset classes...