We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to...

This paper examines the relationship between the skewness in returns and future expected returns across different asset classes. At first, a relation for each of three asset classes (currencies, equities, bonds) is revised by building skew-based long/short portfolio from the investment universe...

This paper analyzes the relationship between bilateral trade flows, trade openness, and asset holdings in a three-country stochastic general equilibrium model. The threecountry model set-up enables me to disentangle and separate the effects bilateral trade flows and trade openness have on...