We investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights...

In the wake of market volatility, many investors may feel a desire to change their approach and be more "nimble" or "opportunistic" in their pursuit of investment goals. In this paper, Robert Maynard, Chief Investment Officer for the Public Employee Retirement System of Idaho and Brandes...

Using bilateral capital flows data from 10 advanced reporting economies — with over 186 bilateral country pairs — for 2000 to 2016, this paper provides strong evidence on the significance of gravity factors, including distance and bilateral trade ties, in explaining cross-border financial...

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

The chapter describes investment and trading strategies rooted in behavioral finance that historically have generated superior profits. The failure of traditional finance models, such as those based on purely rational behavior, to explain how markets work has enabled behavioral finance to move...

In this paper, we describe how Shenzhen A-share listed companies used funds raised in over-financed IPOs during the 2006–2010 period. In exploring the relationship between internal corporate governance and the use of funds raised in over-financed IPOs, we find that the use of such funds to...

We document the rise of China in offshore capital markets. Chinese firms use global tax havens to access foreign capital both in equity and bond markets. In the last twenty years, China's presence went from raising a negligible amount of capital in these markets to accounting for more than half...