Real-time macroeconomic data reflect the information available to market participants, whereas final data's containing revisions and released with a delays' overstate the information set available to them. We document that the in-sample and out-of-sample Treasury return predictability is...

We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore particularly suited for recalcitrant series such as emerging market returns. Our study is on the following portfolio returns: developed markets, emerging markets, the world, and...

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

The risk-return trade-off implies that a riskier investment should demand a higher expected return relative to the risk-free return. The approach of Ghysels, Santa-Clara, and Valkanov (2005) consisted of estimating the risk-return trade-off with a mixed frequency, or MIDAS, approach. MIDAS...

This paper is set up to dissect the covariance patterns of the returns on the commodity and equity markets. Analyzing monthly return data from 1970:M1 to 2013M7, the results show that returns on the commodity and equity markets co-vary weakly in the opposite direction (r=-0.12) in the 1970s,...

This paper analyses how stock returns on the U.S. manufacturing industry respond to raw materials price shock. Using monthly excess return data of the U.S. manufacturing industry and the percentage change of the U.S. raw materials price commodity index from 1960:M2 to 2012:M12, the vector auto...

The purpose of the present study is to provide further empirical evidence of the January and size effects on stock returns. The data used in this study are monthly stock returns, shares outstanding, and prices of all the stocks listed on the NYSE, AMEX, and NASDAQ. The data of monthly stock...