We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...

This paper revisits the puzzle of low returns on Swiss Franc assets using a new data set of portfolio holdings of residents and non residents at Swiss banks. The main findings are as follows. First, we find that the return anomaly is present only for fixed income assets and not for equity....

We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and its disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...

We provide a rationale for window dressing where investors respond to conflicting signals of managerial ability inferred from a fund's performance and disclosed portfolio holdings. We contend that window dressers take a risky bet on their performance during a reporting delay period, which...

This paper provides a contribution to the discussion on appraised values vs. transaction prices by comparing the driving factors of appraisal-based capitalization rates with those of transaction-based capitalization rates. Using a rich database of real estate transactions in Switzerland for the...

This paper examines the relationship between corporate activities to address climate change and stock performance. By separately analyzing the US and European stock markets for different sub-periods, we highlight the impact of the underlying climate policy regime. Methodologically, we compare...

This paper illustrates the importance of density forecasting in portfolio decision making involving bonds of different maturities. The forecast performance of an atheoretic and a theory informed model of bond returns is evaluated. The decision making environment is fully described for an...

We develop alternative models for hedging yield curve risk and test them by hedging US Treasury bond portfolios through note/bond futures. We show that traditional implementations of models based on principal component analysis, duration vectors and key rate duration lead to high exposure to...