financial markets. The climate related risk is divided into three subcategories, the environmental uncertainty, the economic … climate risk and the climate policy risk, which all of them may affect the markets directly or indirectly. The perspective is … affected by beliefs about future path of expected return. Climate change signifies possible disruptions in production and …

, commodity sectors or seasonality effects. The sources of risk and return in this anomaly are sufficiently different to … persists after controlling for standard risk factors, commodity-specific risks, behavioral factors, transaction costs …

increase in gold return volatility due to geopolitical risks and geopolitical risk is not captured by the stock market … turmoil with an analysis of geopolitical risk. We find that gold shows a unique behavior among all precious metals with a …

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are …