Stock-bond correlation is considered an important input for multi-asset portfolio construction. While there has been much research on US stockbond correlation, less work has focused on stock-bond correlations in other countries, their relationship to each other, and their common macroeconomic...

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques contributes to a more comprehensive firm-level...

We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore particularly suited for recalcitrant series such as emerging market returns. Our study is on the following portfolio returns: developed markets, emerging markets, the world, and...

This paper examines the influence of regional economic development on mutual funds investment decisions. Using fund holdings from 2003 to 2008, we find that Chinese mutual funds that collectively reside in the developed coastal region have the ability to select 'star' firms from neighboring...

Over the last decade, local currency emerging market (EM) debt has been developing to become an attractive and complementary investment category as many EM countries have been successful to reduce currency mismatches and maturity problems by implementing sound fiscal and monetary policies....