We examine whether the variance risk of investment portfolios of pension schemes investing in traditional asset classes can be reduced by extending the set of traditional investment opportunities with commodities. We investigate the economic and statistical significance of shifts in the...

We examine whether the variance risk of investment portfolios of pension schemes investing in traditional asset classes can be reduced by extending the set of traditional investment opportunities with commodities. We investigate the economic and statistical significance of shifts in the...

The driving force behind the well-documented medium term momentumeffect in stock returns is subject of much debate. Empirical papersthat aim to find the determinants of this return continuation, seem tobe almost exclusively restricted to US stock markets. Consequently,regional effects have...

This paper investigates the question whether individual stock momentum in Europe is subsumed by country or industry momentum. We introduce a portfolio-based regression approach, which directly allows to test hypotheses about the existence and relative importance of multiple effects (e.g.,...