This paper examines the dynamic conditional correlations between the Chinese sector returns and the S&P500 index returns and offers an interpretation for the heterogeneity of sector-level return correlations. Using a sample of 12 Chinese sectors for the period of 2006-2014, we first observe that...

This paper examines the dynamic conditional correlations between the Chinese sector returns and the S&P500 index returns and offers an interpretation for the heterogeneity of sector-level return correlations. Using a sample of 12 Chinese sectors for the period of 2006-2014, we find that their...

In this paper, we derive optimal investment policies at the industry portfolio level under the stochastic investment opportunities of dynamic and asymmetric properties. For this purpose, we present a new model of intertemporal dynamic portfolio choice as well as non-myopic optimal consumption...

This study proposes a new ranking criterion for constructing momentum portfolios, namely, risk-adjusted cross-sectional momentum. We propose the combination of traditional cross-sectional momentum strategies with different volatility timing strategies in the form of the Sharpe ratio. Then, we...

We propose a measure for the convexity of an option-implied volatility curve, IV convexity, as a forward-looking measure of excess tail-risk contribution to the perceived variance of underlying equity returns. Using equity options data for individual U.S.-listed stocks during 2000-2013, we find...

This study finds that downside tail risk , estimated from Korean corporate bond market data, predicts the excess returns of publicly listed investment-grade bonds. In addition to (normal) value at risk, estimated assuming a normal return distribution, abnormal risk , defined as the portion of...