We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility exposure. We find no evidence supporting that investors consider systematic risk when they evaluate VIX ETP performance. Instead, investors appear to follow a simple mean reversion...

We introduce a simple and intuitive approach of modeling and forecasting correlations for use in portfolio optimization. The model is composite in nature and consists of elements based on a bivariate realized volatility model. Importantly, our framework allows for volatility spill-overs between...

A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled announcements from 2011 to 2018. We document a striking pattern in which stocks earn high excess returns on PC days that are strongly and positively related to their market betas and...

A time series decomposition is used to analyze the predictive relationship between the dividend-price ratio, returns, and dividend growth. The decomposition shows that traditional predictability measures and variance decompositions smooth out effects from specific frequencies. Empirically, the...