Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...

A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...

Recent applications of extreme bound analysis (EBA) to stock market anomalies suggest that few variables are robust. This article extends this research and examines emerging and developed markets simultaneously. Among 15 purported anomalies, six variables – short-run lagged returns, momentum,...

Although “betting against beta” with government bonds (BABgov) seems profitable, questions remain. First, to what extent are BABgov profits an anomaly? Previous studies do not address routine valuation frameworks, such as term-structure models or principal components analysis. Second,...

Recent literature argues that stock market liberalisation has positive long- and short-run effects on macroeconomic growth and private investment, respectively. However, given a sample of up to 64 countries from 1981 through 1998, positive results for long-run growth are largely dependent on the...

Recent studies report that equity market liberalisation positively correlates with total return, which in turn purportedly increases private investment growth. While the finding on reform and performance is generally robust to alternative perspectives on capital account liberalisation that...