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Working Paper

Biases in Long-Horizon Predictive Regressions

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

Long Horizon Predictability: A Cautionary Tale

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.

Journal Article

Optimal Currency Hedging for International Equity Portfolios

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.

White Paper

Risk Without Reward: The Case for Strategic FX Hedging

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.

Working Paper

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

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.

Working Paper

Risk, Return and Diversification in Times of Crisis: (How) Is COVID-19 Different?

Using high frequency data, we analyze the impact of COVID-19 on the risk and diversification characteristics of financial securities across major asset classes and countries.