Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...

Black-Litterman model provides a reasonable platform to portfolio optimization and asset allocation by presenting an equilibrium state of the markets and only deviating from that equilibrium state with forward-looking strategic views. Index of Economic Freedom (IEF) can be used as a handy tool...

I present an improved equity momentum measure for corporate bonds and study the Euro denominated global investment grade corporate bond market between 2000 and 2016. I document economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely...

We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into...

The study investigates the characteristics of inter-country value, size and momentum premiums. We contribute to the asset-pricing literature in three ways. First, we provide fresh evidence for value, size and momentum premiums in country returns. Second, we show that these premiums are robust to...

Australian Steve Keen was, in fact, one of just 13 registered economists , out of a global total of around 36,000 (yes that really comes out as 0.04%), who actually anticipated the global financial crisis.Knowing this, I think it’s almost impossible not to want to read his latest book,...

We identify the climate risk exposure of U.S. commercial banks and assess its financial materiality. Climate risk is positively associated with the environmental, social, and governance (ESG) performance of banks and negatively associated with the stakeholder ESG sentiment towards them. Negative...

This paper compares the forecasting and hedging performance of 11 CAPM beta estimators across 54 international stock markets. The Welch (2022) age-decayed slope-winsorized beta estimator ranks first in predicting future realized OLS betas in 46 markets and is always within the top 3 performers....

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...