US stock-bond correlation, which plays an important role in institutional portfolio construction, has been persistently negative for the last 20y. This negative correlation allows stocks and bonds to serve as a hedge for each other, enabling CIOs to increase stock allocations while still...

In this study, I investigate the performance of five categories of U.S. domestic equity mutual funds during the recessions of 1990 and 2001 and during the 12 months following each recession. I show that recessions identified by the National Bureau of Economic Research (NBER) are not all the same...

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...