According to recent research, diversification across risk factors (or investment styles) proves to be more efficient than traditional asset class diversification. In this paper, we take the next step and show that it is economically worthwhile to combine risk factors in a dynamic manner, in a...

From 2004 to 2015, the market perception of the sovereign risks of the Euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. "Core" and "peripheral" bonds cluster in a bloc-like structure, but the...

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...

In this study we propose a new measure of illiquidity for small, open stock markets; dollar zero-returns. Compared with other commonly used measures of illiquidity, the dollar zero-return produces the highest anomalous return across all four Nordic markets. In testing the pricing implication of...

In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and porfolio drawdowns. We see a picture emerge that shows hedge funds have historically hedged a fair degree of systematic market risk, especially in the early years, offering...

Liquidity is a multidimensional concept with most liquidity measures proxying for only one of the many facets. Using nine low-frequency liquidity proxies, this study calculates composite liquidity measures by extracting the commonality across liquidity dimensions. As a stock characteristic,...

We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four definitions of aggregate global idiosyncratic volatility...

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Gold is frequently cited by investors as a financial asset that can be associated with a negative beta coefficient. I investigate this hypothesis by estimating the beta coefficient of gold at different timescales and examining the associated implications for investors with different planning...

From 2004 to 2015, the market perception of the sovereign risks of the euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. “Core” and “peripheral” bonds cluster in a bloc-like structure,...