We find that investors across the globe differentially prefer dividend-paying stocks over non-dividend-paying stocks more in declining markets than in advancing markets, whether in developed or emerging markets or before or after the 2008 global crisis, even accounting for growth opportunities,...

This paper analyzes the existence of flight-to-quality from stocks to bonds and contagion between the two asset classes. Flight-to-quality is present if correlations between stocks and bonds strongly decrease in falling stock markets since this constitutes a movement of the asset classes in...

Is gold a hedge against sudden changes in stock and bond returns, or does it instead have a subtly different property, that of being a safe haven? This paper addresses these two interlinked questions. A safe haven is defined as a security that is uncorrelated with stocks and bonds in case of a...

This short note examines common failures of individual equity investors via the metaphor of the 7 deadly sins of Christian theology. The note appeared in 7 parts in the Sunday Independent, the largest selling newspaper in Ireland, in the April-May 2006 period

Based on weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992-2005, we analyze the implications for portfolio management of accounting for conditional heteroskedasticity and structural breaks in long-term volatility. In...

This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics and effects for the financial system. The empirical analysis for eight...

Traditionally, analysts and traders have expected to see a stable, reasonably predictable, relationship between the price (and thus the rate of return) of gold and silver. Both these metals retain important industrial, commercial and investment uses. Recent research has cast some doubt on this...

This paper examines the optimal allocation of assets in well diversified equity based portfolio where the investor is concerned not only with mean and variance but also with the skewness of the returns. Beginning with an analysis of the rationale for concerning with skewness, the paper then...

This paper re-examines the results of Ciner (2001), who claims that the historically stable relationship between gold and silver has broken down in the 1990's. We show, using a longer run of data, for both cash and futures, that this finding may be unwarranted. In particular we use a recursive...