Using an extensive Australian sample, we explore two related issues in the context of a default risk asset-pricing factor (DEF) over the business cycle: whether a DEF can explain the size premium in the three-factor Fama–French (FF) model; and whether a DEF has a separate role itself in a...

In this paper, we study mutual fund performance in terms of timing ability with daily data from 1998 to 2009. A novel timing model is proposed by incorporating the regime-switching framework into the Treynor and Mazuy (1966) model. The volatility follows a generalized autoregressive conditional...

We propose a new 3-step resampling approach to forecast portfolio tail risk conditional on the economic state. The approach first predicts economic states using a set of macroeconomic and financial variables. We then forecast the joint distribution of multiple assets in the portfolio according...

Industry uncertainty networks extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty, we uncover an uncertainty hub role for the communications, financials, IT and real estate...

We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty across business cycles, we uncover an uncertainty hub role for the communications,...