We analyze the hedging feature of gold against inflation by analyzing the factors affecting gold prices for the post-2013 period, including the tapering process in the United States. Our results show that especially demand for gold Exchange Traded Funds (ETFs) and US 10-year bond rates are...

We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...

We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...

Purpose Stirred by scant regard for market phases in portfolio performance assessments, the current paper investigates the active versus passive investment strategies under the bull and bear market conditions in emerging markets focusing on South Africa as a case study....

Studies of intermediated arbitrage argue that bank balance sheets are an important consideration, yet little evidence exists on banks' positioning in this context. Using confidential supervisory data (covering $25 trillion in daily notional exposures) we examine banks' positions in connection...

In this paper, we propose a binomial approach to modeling sequential R&D investments. More specifically, we present a compound real options approach, simplifying the existing valuation methodology. Based upon the same set of assumptions as prior models, we show that the number of computational...

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...

We combine a customized survey and randomized controlled trial (RCT) to study the effect of higher-order beliefs on U.S. retail investors' portfolio allocations. We find that investors' higher-order beliefs about stock market returns are correlated with but distinct from their first-order...

Probabilities of default (PDs) of loans are of central importance for financial stability. We analyze the PDs, reported quarterly by German financial institutions to Deutsche Bundesbank. The development of PDs is modelled as an AR process of PD changes and an initial PD. Panel regressions show...

Insurance companies often follow highly correlated investment strategies. As major investors in corporate bonds, their investment commonalities subject investors to fire-sale risk when regulatory restrictions prompt widespread divestment of a bond following a rating downgrade. Reflective of...