Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

This paper propounds that the Forward Premium Anomaly (FPA) arises due to misspecification in the extant empirical models, where ratios of the concerned variables are studied instead of their levels themselves. We study these variables directly instead of their ratios for 22 currency pairs from...

This paper examines the ability of the oil market variance risk premium (VRP) to predict both financial and key macroeconomic series. Interest in understanding the movement of such variables increasingly involves considers measures of investor risk, for which the VRP that incorporates both...