We find that periods of elevated EPU are associated with higher analyst disagreement, a decrease in forecast accuracy, and a higher degree of conservatism. We show that the decrease in forecast accuracy can be partially attributed to limited attention. A higher level of EPU attracts analysts’...

Hedge funds shift investment strategies in response to changing market conditions. We adjust hedge fund returns for their risks in an estimation that accounts for regime-switching effects. Index factors are used to capture the returns from buy-and-hold strategies followed by hedge fund. Besides,...

This study investigates long run metals properties using the extended version of Mccown and Zimmerman (2006) multifactor CAPM-model. By adding extra explanatory variables we improve the explanation power of the existing model in terms of R-squared. Taking German invertors' perspective and using...

In this paper, we propose a dynamic portfolio strategy for European corporate bonds based on a two-factor pricing model. We introduce a strategy in which we forecast both future factors as well as bonds' future exposure to these factors. Using a unique dataset that is representative of the...

This study presents the empirical evidence on the evolution of home bias in Dutch pension funds (PFs) asset allocation behaviour. Using a panel data of more than 600 Dutch PFs over the period 1992-2006, we observe a significantly diminishing home bias from 37% to 13% in portfolio choice...