Working paper

Author(s) : Sivagaminathan Sivasubramanian
While there is a consensus on the factors that are rewarded over the long term, it must be acknowledged that the implementation of factor investing,...
2015
Author(s) : Jakub Ulahel
While there is a consensus on the factors that are rewarded over the long term, it must be acknowledged that the implementation of factor investing,...
2015
Author(s) : Timotheos Angelidis
A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium, a smaller momentum premium and lower...
2015
Author(s) : Athanasios Sakkas
A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium, a smaller momentum premium and lower...
2015
Author(s) : Nikolaos Tessaromatis
A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium, a smaller momentum premium and lower...
2015
Author(s) : Joelle Miffre
It also demonstrates that a pricing model based on innovations to the backwardation versus contango risk factors explains relatively well a wide...
2015
Author(s) : Ana-Maria Fuertes
It also demonstrates that a pricing model based on innovations to the backwardation versus contango risk factors explains relatively well a wide...
2015
Author(s) : Adrian Fernandez-Perez
It also demonstrates that a pricing model based on innovations to the backwardation versus contango risk factors explains relatively well a wide...
2015
Author(s) : Chris Brooks
We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and...
2015
Author(s) : Adrian Fernandez-Perez
We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and...
2015
Author(s) : Joelle Miffre
We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and...
2015
Author(s) : Ogonna Nneji
We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and...
2015
Author(s) : Adrian Buss
In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets and an alternative risky asset, which is...
2015
Author(s) : Raman Uppal
In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets and an alternative risky asset, which is...
2015
Author(s) : Grigory Vilkov
In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets and an alternative risky asset, which is...
2015
Author(s) : Carlos Heitor Campani
Even if one correctly uses the net present value criterion for capital budgeting, we show that it fails for nonconventional projects. Our...
2014

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