This paper examines how households should optimally allocate their portfolio choices between risky stocks and risk …

stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …

powerful risk decomposition scheme, we show in this study that diversification is improved by the addition of a global risk … addition to global liquidity and default risk factors, we also include country-specific default risk component, and all of them … are free of measurement or availability issues. The idiosyncratic risk component is estimated as a fixed effect along with …

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … can be attributed to compensation for bearing a varying default risk and term risk. This paper shows that the change in … controlling for risk characteristics such as duration and yield-to-maturity.This paper also documents the integration of the …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …