We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding several years during the Great Depression when...

This paper aims to implement a portfolio optimization strategy considering two fundamental aspects: the empirical regularities observed in the time series of stock returns, and the views of portfolio managers about these regularities. From an analytical point of view, all the results are...

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...

We compared performance of past ‘winners' and past ‘losers' over the look-ahead period of one month for various portfolios that consist of the US ETFs and the holdings of the US equity Select Sector SPDRs in 2007 – 2017 and 2011 - 2017. Namely, we verified the conventional pattern...

Multiperiod portfolio choice is the central problem in active asset management. Multiperiod dynamic portfolios are notoriously difficult to solve, especially when there are hundreds of tradable assets as well as a large number of state variables. In this paper, we develop a novel two-step...

We introduce a flexible utility-based empirical approach to directly determine asset allocation decisions between risky and risk-free assets. This is in contrast to the commonly used two-step approach where least squares optimal statistical equity premium predictions are first constructed to...

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...

We introduce a portfolio friction in a two-country DSGE model where investors face a constant probability to make new portfolio decisions. The friction leads to a more gradual portfolio adjustment to shocks and a weaker portfolio response to changes in expected excess returns. We apply the model...

We study the implications of predictability on the optimal asset allocation of ambiguity-averse long-term investors and analyze the term structure of the multivariate risk-return trade-off considering parameter uncertainty. We calibrate the model to real returns of US stocks, long-term bonds,...