Cochrane and Piazzesi [Cochrane, J.H., Piazzesi, M., 2005. Bond risk premia. American Economic Review 95, 138-160] use forward rates to forecast future bond returns. We extend their approach by applying their model to international bond markets. Our results indicate that the unrestricted...

This article identifies a common latent liquidity factor, which is the driver of observable and commonly used liquidity proxies across asset classes. We use two methodologies to identify the latent liquidity factor: state space modeling (SSM) and principal component analysis (PCA). We find that...

The objective of this article is to illustrate how key choices of investors in the implementation of common Equity Alternative Risk Premia (ARP) strategies affect their performance characteristics. The analysis focuses on the equity value strategy and highlights how its performance is robust to...