A growing number of studies in finance decompose multiperiod portfolio returns into series of single period returns, using these to test asset pricing models or market efficiency or to evaluate the returns to investment strategies such as those based on momentum and value-growth. We provide a...

A growing number of studies in finance decompose multiperiod portfolio returns into a series of single-period returns, using these to test asset pricing models or market efficiency or to evaluate the returns to investment strategies such as those based on momentum, size, and value-growth. We...

Results from the ARCH/GARCH literature and studies of implied volatility clearly show that volatility changes over time. This paper investigates the improvement in pricing of FTSE 100 index options from taking into account stochastic volatility. The major tool for this analysis is Heston?s...

This study uses survey data of fund managers? views on prospects for international equity markerts to shed light on why investment portfolios are signnificantly biased towards domestic equities. We find that fund managers from the US, the UK, Continental Europe, and Japan show a significant...