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inflation risk premiums are also important. Cross-country nominal and inflation-linked yield correlations have declined since … variable from a habit model explains a substantive part of the variation in real yields and cross-country yield correlations …
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Environmental, Social and Governance (ESG) investing has been one of the most important topics in asset management this … past decade. Yet, for all the attention, only a fraction of asset managers truly consider ESG issues when making investment …
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We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We...
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