We examined the return comovement of popular value-oriented investment strategies inside and outside equity. There are two distinct groups among the strategies that we examined. The returns of strategies within a group move together, while the returns of strategies belonging to different groups...

A growing body of literature confirms the significance of the commodity futures basis factor: It has a significantly positive premium and it explains the cross-section of commodity-futures excess returns. We extend the literature by documenting predictive relation between this factor and the...

Value premium varies substantially across countries. We explore whether the inter-country cross-sectional variation in value premium can be predicted by those variables known to predict the intra-country time-variation in value premium. After examining data from 23 developed markets and 13...

Maximum drawdown refers to the largest cumulative loss of a portfolio within a given time interval. While it has been used by investment professionals as an important measure of portfolio risk for many years, its nature and its implications for asset pricing have not been well understood. The...

As highlighted by recent literature, long-term foreign exchange risk premia (FRP) of a currency pair tend to covary negatively with short-term real interest rates differentials (RIRD) of the pair. We fit an affine term structure model for 9 major currencies against the US dollar and estimate two...