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Working Paper
Biases in Long-Horizon Predictive Regressions
June 4, 2020
This paper derives the small sample bias of estimators in J horizon predictive regressions, providing a plug-in adjustment for these estimators. A number of surprising results emerge, including a higher bias for overlapping than nonoverlapping regressions despite the greater number of observations and particularly higher bias for an alternative long-horizon predictive regression commonly advocated for in the literature.
Journal Article
Optimal Currency Hedging for International Equity Portfolios
October 18, 2018
We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.
Journal Article
Long Horizon Predictability: A Cautionary Tale
June 18, 2018
We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.
Working Paper
The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds
August 1, 2016
We analyze the cross-section of developed countries’ bond spreads.We show that under certain conditions, especially credit deterioration and flight to quality, new issue, and more liquid, bond spreads tighten and become cheaper, not more expensive, relative to their less liquid counterparts.
White Paper
Risk Without Reward: The Case for Strategic FX Hedging
September 18, 2015
In the wake of losses associated with the sharp rise in the U.S. dollar between 2014 and 2015, we look at the long-term case for strategic currency hedging.