We propose a multi-currency quadratic term structure model that allows for several sources of market incompleteness. A new feature of the model is the jump-quadratic dynamics of the exchange rates that simultaneously generate greater flexibility in the time-varying risk premium and excessive...

This paper examines the benefits of diversifying into real estate and other assets that typify the wealth held by Japanese investors by examining movements in mean variance frontiers. We employ spanning tests to assess statistical significance of frontier shifts without specifying a benchmark...

Average returns for small firm size portfolios tend to decrease during the week in January, with Monday returns highest and Friday lowest. More striking are the results after controlling for Mondays and Fridays in the first and the last 3 weeks of January. Monday returns in this first week are...