Mutual fund manager excess performance should be measured relative to their self-reported
benchmark rather than the return of a passive portfolio with the same risk characteristics. …

The proposition that idiosyncratic volatility may matter in asset pricing is currently a topic of
research and controversy. Using data from the UK market we examine the predictive ability of …

… is the futures price at the end of month t for the n th - nearby contract of commodity j with
expiration month T n and F j , t + 1 T n is the futures price of the same contract at the end of …

We provide evidence using data from the G7 countries suggesting that return dispersion may
serve as an economic state variable in that it reliably predicts time-variation in economic …

Under the paradigm of factor investing, we create a global factor allocation strategy using
country indexes and portfolio construction methodologies that are robust to estimation error. …

The evidence on the inter-temporal relation between idiosyncratic risk and future stock
returns is conflicting and confusing. We shed new light on the issue using a more flexible …

Greek public pension funds can invest up to 23% into risky assets and are not allowed to
invest outside Greece. This paper seeks to investigate the costs of investment constraints on …

… Combining equations (6) and (10) we see that bi,n= - (1-α) and α=1+ bi,n, where α is the
sensitivity of growth to nominal interest rates. Negative estimates for bi,n imply positive but less …

This paper tests whether herding characterizes the behavior of investors in the Athens Stock
Exchange (ASE) over the 1985-2004 period. Rational asset pricing suggests that given the …

We develop an analytical solution to the dynamic multi‐period portfolio choice problem of an
investor with risky liabilities and time varying investment opportunities. We use the model to …