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Journal Article
When Do Bond Markets Reward Investors for Interest Rate Risk?
December 1, 1996
Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.
Journal Article
Which Risks Have Been Best Rewarded?
December 1, 2004
An empirical study examines the consistency of rewards for bearing various types of risks in U.S.
Journal Article
How Well Does Duration Measure Interest Rate Risk?
March 1, 1992
Fixed-income managers use duration to measure the risk of their portfolios.
Journal Article
The Value Of Duration as a Risk Measure for Corporate Debt
June 1, 1994
Duration is the primary risk measure for fixed-income portfolio managers.
Journal Article
Pronounced Momentum Patterns Ahead of Major Events
March 1, 2003
Many financial asset measures exhibit a weak continuation tendency.
Journal Article
Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?
September 1, 2012
Investors, like almost everyone else, dislike catastrophic negative surprises and love unexpected windfalls.
Journal Article
How Much Should DC Savers Worry About Expected Returns?
August 3, 2016
DC savings analyses typically anchor on long-term stock and bond returns when estimating retirement income.
Journal Article
Stock-Bond Correlations
September 1, 2003
The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently.
Journal Article
The Norway Model
December 1, 2012
By 2011, Norway’s Government Pension Fund Global (GPFG) was ranked the largest investor in the world.