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Journal Article

The Canadian Dollar as a Reserve Currency

A clear reflection of Canada’s relative economic resilience during the global financial crisis of 2007‒2009 is the growth in the share of foreign exchange reserves that other countries hold in Canadian-dollar securities, particularly those issued by the Government of Canada.

Journal Article

Assessing Risk through Environmental, Social and Governance Exposures

ESG investing may have a role in portfolios that extends beyond ethical considerations, particularly for investors interested in tilting toward safer stocks, and in a way that complements what is captured by traditional statistical risk models.

Journal Article

Does Active Management Pay? New International Evidence

One of the most important decisions for an equity investor is whether to manage investments actively or passively.

Journal Article

Deactivating Active Share

The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.

Journal Article

Decoding Inside Information

The authors employ a simple empirical strategy to identify “opportunistic” insider trading — that is, purchases or sales by traders with favored access to private information about the given firm — and conclude that portfolio strategy that focuses solely on “opportunistic” traders yields value-weighted abnormal returns of 82 basis points per month.

Journal Article

Long-Only Style Investing: Don't Just Mix, Integrate

We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.

Journal Article

Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves

The 2007‒2009 global financial crisis led to rapid accumulation of foreign reserves in both developed and emerging countries and triggered discussions of how these reserves should be managed.

Journal Article

Initiating Bargaining

The authors use a unique data set — more than 1,200 high-stakes poker tournaments — to investigate whether the success of bargaining and the agreed upon terms depend on the characteristics of the person who initiates negotiations (the "initiator").

Working Paper

Investing in Disappearing Anomalies

It is important to allow for a prolonged decay when studying anomalies or their impact on portfolio choice. We propose a framework for modeling anomalies that specifically allows for a gradual disappearance.