Recent asset pricing studies demonstrate the relevance of incorporating coskewness in asset pricing models, and illustrate how this component helps to explain the time variation of ex-ante market risk premiums. This paper analyzes the role of coskewness in mutual fund performance evaluation and...

Since the price of gold began climbing dramatically over a decade ago, gold-related industries have received a great deal of attention from investors. Moreover, investing in gold mutual funds has become a promising alternative to investing in gold directly because of the inherent difficulties...

We evaluate a strategy that minimizes the specific risk of investing in a reasonable number of mutual funds. Our results are consistent with the previous studies, which suggest that actively managed mutual funds are not totally diversified. Our strategy behaves well in terms of diversification,...

This article analyses the effect of short-selling constraints on market volatility. Between 2011 and 2012, two different types of short-sale bans were imposed on the Spanish stock market: first, a partial ban on financial companies, and later, a total ban affecting all stocks. Using panel data...

This paper presents a model linking two financial markets (stocks and bonds) with real business cycle, in the framework of the Consumption Capital Asset Pricing Model with Generalized Isoelastic Preferences. Besides interest rate term spread, the model includes a new variable to forecast...

In this paper we have studied the ability of relatively standard equilibrium asset pricing models to explain two important empirical regularities of asset returns extensively documented in the literature: i) returns can be predicted by a set of macro variables; and ii) returns are very volatile....