Regime-switching models are well suited to capture the non-linearities in interest rates. This paper examines the econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong evidence supporting the presence of regime switches but...

We examine the efficiency of using individual stocks or portfolios as base assets to test asset pricing models using cross-sectional data. The literature has argued that creating portfolios reduces idiosyncratic volatility and allows more precise estimates of factor loadings, and consequently...

Recent studies suggest that the underperformance of IPO's in the post-1970 sample may be a small sample effect or Peso problem. That is, IPO underperformance may be due to observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance that captures...

Factors - historically broad and persistent sources of return - can be used with simple equity-bond Reference Portfolios to meet the multiple challenges facing official reserve institutions. First, Reference Portfolios can be constructed to reflect the risk appetite of stakeholders, provide...

We examine the link between equity risk premiums and demographic changes using a very long sample over the twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic variables...