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Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the...
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's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is …
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public information. Overall, we find no evidence for a downward bias in unsolicited ratings …
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