Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

This paper is based on the mathematical logic that asset returns being ratios of two consecutive prices are rational functions that cannot be averaged directly in a portfolio to match the average market returns. In this context, we study the Fama-French portfolios for the US markets and report...

This paper examines the ability of the oil market variance risk premium (VRP) to predict both financial and key macroeconomic series. Interest in understanding the movement of such variables increasingly involves considers measures of investor risk, for which the VRP that incorporates both...

Market-based value style equity portfolios do not systematically outperform market-based growth style equity portfolios, despite considerable academic research that suggests that they should. This is an unresolved puzzle in the long lineage of work on this topic. We ask whether portfolio...

This paper examines the ability of the oil market variance risk premium (VRP) to predict both financial and key macroeconomic series. Interest in understanding the movement of such variables increasingly involves considers measures of investor risk, for which the VRP that incorporates both...