Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the...

The financial market assumptions of the PBGC's PIMS model are critical inputs to simulations for most apparent uses of the system. They currently appear to be based on a reduced form, "classical" approach to assessing and forecasting the distribution of returns on various classes of input...

Using an earnings forecasting model has been shown to be useful and highly statistically significant in U.S. stock selection. We find that incorporation of ESG criteria can enhance stockholder returns holding risk constant under reasonable assumptions. The novel approach here uses a...

Growing research links household financial decisions and health status within the nuclear family. However, the focus on the nuclear family could underestimate the health-wealth effect. Previous research finds that household wealth can decline when an extended family member experiences a physical...

This paper finds households with children and elderly dependents, the "Sandwich Generation," significantly reduce both college savings and stockholding. Having any elderly dependents decreases the probability of both stockholding and college savings by twice as much as poor personal health....

This study explores the effectiveness of various methods for measuring risk tolerance, with the aim to better understand the risk-taking attitudes and behaviors of financial decision-makers. Using data collected between October 2020 and March 2021, the research investigates three key areas: (a)...

Financial risk aversion and financial risk tolerance are sometimes considered to be ‘opposite sides of the same coin’, with the implication being that risk aversion (a term describing the unwillingness of an investor to take risks based on a probability assessment) and risk tolerance (an...