A major puzzle in international finance is the inability of models based on monetary fundamentals to produce better out-of-sample forecasts of the nominal exchange rate than a naive random walk. While prior research has generally evaluated exchange rate forecasts using conventional statistical...

We study the cross-section of expected corporate bond returns using an intertemporal CAPM with three factors; innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of bond market index portfolios of different...

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. In contrast to previous work, we use a scaled stochastic discount factor instead of scaled or managed portfolio returns. Our...

We re-visit the long-horizon underperformance following seasoned equity offerings (SEOs) from an asset allocation perspective. We focus on the economic value, to a mean-variance investor, of investing in a SEO portfolio relative to a set of benchmark portfolios. As a result, we are able to avoid...

We revisit the evidence on the economic value of the predictive ability of the short rate for excess stock returns using market timing regressions and seven decades of US market data on aggregate indices, size decile portfolios and industry portfolios. We ask two questions. First, has the...

We study the long-run abnormal performance of a sample of UK firms following convertible security issues over the period 1982-1996. We make the following contributions relative to prior research. We are the first to study long-run stock price performance of firms following convertible preference...

We study the cross-section of expected corporate bond returns using an inter-temporal CAPM (ICAPM) with three factors: innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of corporate bond market index portfolios....

In this paper we investigate the empirical performance of unconditionally efficient portfolios strategies for a number of commonly used predictive variables. These strategies, which optimally utilize asset return predictability in portfolio formation were studied by Hansen and Richard (1987) and...

In this paper we propose a new Sharpe ratio based test of asset return predictability. Intuitively, a variable that predicts returns is of value to an investor if it allows the construction of 'managed' portfolios that expand the unconditional mean-variance efficient frontier, and thus the...