We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

This paper uses a multi-asset framework to investigate the ramifications of transaction costs on international portfolio allocations. I employ numerical simulation techniques to study the evolution of an international portfolio and the behavior of net equity purchases, and compare the model's...

There is no consensus in the literature as to which model should be used to estimate the stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the developed markets has a poor empirical record and is...

The market value of corporate stock in the United States increased by nearly one trillion dollars between December 1994 and July 1995. This paper explores the distribution of the stock ownership, and hence the gains from the stock price rise, and what the rise in stock prices implies for...

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra...

Asset prices have been found to respond to unpredicted changes in macroeconomic variables in a number of studies. This paper focuses on the relationship between economic factors and the stock market for a small open economy, namely Canada. Exchange risk is observed to have a significant impact...

There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets, has a poor empirical record and is...

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

This study examines gold’s contribution to portfolio risk over different time scales. The analysis is based on wavelet decompositions of the variances and covariances associated with a portfolio that includes gold, stocks, 10-year government bonds and three-month Treasury bills. The results...

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...