This paper examines institutions' portfolio allocation and performance in US securities. We test how information immobility, proxied by market correlation and cultural and geographical distance between the investors' home markets and the US, influences portfolio strategies. Consistent with...

In this paper we explore how small countries such as Malaysia, Singapore, and Taiwan, can offer their aging populations the means to protect their retirement income against inflation without the governments directly issuing inflation-protected bonds. While inflation swaps are a well-known means...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds...

We hypothesize and find that the value of active management depends on characteristics of markets and investors. Using unique data, we focus on the performance of actual passive and active equity positions of an important category of institutional investors (defined benefit pension plans) from...

The doctrine of “Stocks for the Long Run” has been the cornerstone of strategic asset allocation portfolios for many decades. The catalysts of this phenomenon were the contemporaneous onset of the 1980-2000 bull market, one of the strongest in history, and the emergence of modern financial...

During the past few decades, significant theoretical advances in portfolio theory and asset pricing have substantially increased our understanding of how to construct optimal portfolios. These theoretical developments have challenged professional portfolio management to develop appropriate tools...

This paper examines foreign institutional investors' portfolio allocation and performance in U.S. securities. We test how information immobility, proxied by cultural and geographical distance between the investors' home markets and the U.S., influences portfolio strategies. Consistent with...

A comprehensive description of the trading and statistical characteristics of VIX futures and their exchange-traded notes motivates our study of their benefits to equity investors seeking to diversify their exposure. We analyze when diversification into VIX futures is ex-ante optimal for...