This paper examines how the U.S. monetary policy surprises impact the mortgage rates in the nation and across five regions from 1990 to 2008. Regression analysis based on bootstrapping shows that surprises in the target federal funds rate (the target factor) have a significantly positive impact...

We model and test the relations between the team management of mutual funds, fund manager ability, fund performance, and holdings. Our model predicts that team-managed funds will perform better, allocate their funds more conservatively, and trade less aggressively than single-manager funds....

This paper examines data from 45 world markets and shows that the previously documented relation between mean returns and idiosyncratic volatility arises because of biases in volatility estimates that we can attribute to the bid-ask bounce in trade prices. We show that no significant relation...

This paper uses machine learning tools to study the serial dependence (lead-lag relations) of commodity futures returns during the post financialization period (January 2004 – December 2019). We use LASSO (Least Absolute Shrinkage and Selection Operator) to select the predictors as the number...

This paper considers the team management of mutual funds, fund manager ability, fund performance, and holdings. We find evidence suggesting a positive relation between fund performance and team management concurrent with a negative relation between managerial ability and the use of team...

This paper addresses the question whether investors can profit from return predictability in the real world while focusing on the impact of the data-generating process (DGP). We estimate an array of predictive models ranging from the simplest VAR to nonparametric ones and evaluate their...

This paper addresses the question whether investors can profit from return predictability in the real world while focusing on the impact of the data-generating process (DGP). We estimate an array of predictive models ranging from the simplest VAR to nonparametric ones and evaluate their...

Despite the extensive empirical evidence on return predictability, the question whether investors can profit from return predictability in real time remains unsettled. One problem is that the predictive model is likely misspecified, which has received little attention. By taking a more careful...

We investigate the implications of time-varying expected return and volatility on asset allocation in a high-dimensional setting. We propose a DFMSV model that allows the first two moments of returns to vary over time for a large number of assets. We then evaluate the economic significance of...

Many anomalies are based on firm characteristics and are rebalanced yearly, ignoring any information during the year. In this paper, we provide dynamic trading strategies to rebalance the anomaly portfolios monthly. For eight major anomalies, we find that these dynamic trading strategies...