In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables. We assess the performance of dynamic, unconditionally efficient strategies, first studied by Hansen and Richard (<xref>1987</xref>) and Ferson...

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 examine an impartant aspect of emprical estimation of term structure models; the role of conditioning information in dynamic term structure models. The use of both real world or simulated data implicitly incorporates conditioning information. We examine the bias created in estimating the...

In this paper, we study the relative performance of value versus growth strategies from the perspective of stochastic dominance. Using half a century US data on value and growth stocks, we find no evidence against the widely documented fact that value stocks stochastically dominate growth stocks...

The current practice of central banks lending gold to gold producers allows the gold leasing rate to be derived from published data. Gold leasing rates, a potential measure of real world interest rates, are calculated and compared with real interest rates derived from U.K. index-linked gilts....

Using the idea of stochastic dominance, the long-run post-merger stock performance of UK acquiring firms is studied. Performance is compared by using the entire distribution of returns rather than only the mean as in traditional event studies. The main results are as follows: First, it is found...