Based on a multi-year survey of U.S. Chief Financial Officers (CFOs), we present expectations of the risk premium measured over a 10-year horizon relative to a 10-year U.S. Treasury bond. Our survey also provides measures of the disagreement over the risk premium. We also provide a measure of...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market...

Over the past 30 years, there has been a striking evolution in fund management structure with team-managed funds growing from 30% of funds to over 70% today. While much attention is focused on fund performance, our paper presents evidence that this transformation is likely a response to...

We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the Markowitz approach: the ability to handle higher moments and estimation error. We employ the skew normal distribution which has many attractive features...

We analyze the results of a recent survey of U.S. Chief Financial Officers (CFOs) conducted in 2008. We present expectations of the equity risk premium measured over a 10-year horizon relative to a 10-year U.S. Treasury bond. This multi-year survey has been conducted every quarter from June 2000...

Traditional mean-variance efficient portfolios do not capture the potential wealth creation opportunities provided by predictability of asset returns. We propose a simple method for constructing optimally managed portfolios that exploits the possibility that asset returns are predictable. We...

We analyze the results of the most recent survey of U.S. Chief Financial Officers (CFOs) which looks ahead to the first quarter of 2007 and beyond. We present expectations of the equity risk premium measured over a 10-year horizon relative to a 10-year U.S. Treasury bond. This multi-year survey...

We explore the cross-sectional determinants of emerging equity market returns. We find that the behavior of emerging market returns differs substantially from the behavior of developed equity market returns and that these differences have persisted in the period ending June 1996. While there are...

Population demographics impact both the time-series and cross-section of expected asset returns. A number of theories link the average age of a population to expected market returns. For example, Bakshi and Chen (1994) argue that an older population will demand a higher premium on equity...