The portfolio of the average investor contains important information for strategic asset allocation purposes. This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark or the optimal portfolio for the average investor. We...

We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large...

Warren Buffett suggested that the ratio of the market value of publicly traded stocks to economic output could identify equity market mispricings. We extend the existing research from the United States to international equity markets by investigating the return-predictive characteristics of the...

The global multi-asset market portfolio contains important information for strategic asset-allocation purposes. First, it shows the relative value of all asset classes according to the global financial investment community, which one could interpret as a natural benchmark for financial...

We examine asset class and factor premiums across inflationary regimes. As periods of high inflation and deflation are relatively uncommon in recent history, we use a deep sample starting in 1875. Moderate inflation scenarios provide the highest returns across asset class and factor premiums....

This paper examines the sustainability characteristics of listed firms that raise fresh capital by issuing stocks or bonds. Issuance, i.e. the primary market, should be of paramount importance to sustainable investors since this is where the demand for and supply of capital meet, contrary to the...