Although databases used in many organizations have been found to contain errors, little is
known about the effect of these errors on predictions made by linear regression models. The …

We develop a tactical asset allocation strategy that incorporates the effects of
macroeconomic variables. The joint distribution of financial asset returns and the …

A nascent literature in finance and accounting on tail risk in individual stock returns
concludes that bad news hoarding by corporate managers engenders sudden, extreme …

As institutions in most countries are faced with limits pertaining to investment in the various
asset classes, the free flow of funds from one investment class to another is curtailed and …

In this study, insight into characteristics of international government bond markets is
provided by identifying the relative effects of domestic and global factors in the determination …

Although databases used in many organizations have been found to contain errors, little is
known about the effect of these errors on predictions made by linear regression models. The …

In this dissertation, I propose a method for incorporating dynamically-updated estimates for
the parameters of asset return distributions into a risk parity portfolio optimization process to …

Most of the research on the benefits of diversification into emerging markets (EMs) has
focused on equity markets. In this research, the focus is on investments in fixed income …

Over the past fifty years, economic growth in emerging markets has been supported by
investments in capital and technology from the developed world. The benefit of this …

Allocating capital to fixed income instruments issued by emerging markets (EMs),
governments may provide significant benefits to both the investors and issuers of these …