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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.