This article assesses the ability of flexible dynamic correlation specifications to improve asset allocation decisions. To that end, we use the recently proposed Rotated Dynamic Conditional Correlation (RDCC) model that enables the estimation of models with high degree of parameterization and...

The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short...

Using proprietary audit trail transaction data compiled by the Commodity Futures Trading Commission, we investigate, at the individual trader level, (1) the timing and (2) the determinants of dual traders' personal trades. Our analysis reveals an absence of any trade timing by dual traders in...

In this paper, we modify the extendible debts model proposed in Longstaff (1990) to help relieve the moral hazard problem induced in the original model. In Longstaff¡¦s model, extending the maturity of the defaulted debts gives the borrower an incentive to default even if the borrower is...

A passive impression has been that the maturity of Indian economy with most economic and social indicators owes a favour to the opening up of the economy and subsequent integration into the global trade, investment and financial liberalization. Gradual increase in GDP, excellent performance in...

Real Estate investments have been considered a good tool to provide diversification without increasing risk in a portfolio. Real Estate Investment Trusts (REITs) are a well-known investment alternative to many investors who want to invest in real estate minimizing the liquidity problem, since...

In this paper, we modify the extendible debts model proposed in Longstaff (1990) to help relieve the moral hazard problem induced in the original model. In Longstaff¡¦s model, extending the maturity of the defaulted debts gives the borrower an incentive to default even if the borrower is...

Using proprietary audit trail transaction data compiled by the Commodity Futures Trading Commission, we investigate, at the individual trader level, (1) the timing and (2) the determinants of dual traders' personal trades. Our analysis reveals an absence of any trade timing by dual traders in...

Motivated by behavioural asset pricing theory, we introduce a statistical risk accounting model to characterize the compensating risk premium required to sustain minority banks' (MBs) altruistic motive to provide credit in underserved communities. Our model predicts that increased bank...

Studies on real estate economics neglected the relationship between hedonic prices and capitalization rate, thus considering the hedonic models and the income approach as two separate and alternative appraisal methods. In this short theoretical paper we show that integration is possible and...