This article investigates the use of factor-based methods for predicting industry-wide bank stress. Specifically, using the variables detailed in the Federal Reserve Board of Governors’ bank stress scenarios, the authors construct a small collection of distinct factors. We then investigate the...

One common threshold is that labor market conditions are improving when weekly unemployment claims fall below 400,000.

Using the Ibbotson/Sinquefield data documenting the returns of long-term corporate and government bonds, Asvanunt and Richardson [2017] find a sizable investment-grade credit premium that is also statistically significant after accounting for exposure to equity, size, value and momentum factors....

The expense ratio price of U.S. equity market exposure is close to zero with funds such as the Vanguard Total Stock Market Index (ticker: VTSAX), which charges an expense ratio of just 5 bps. An interesting, and more difficult, question to answer is, How much are mutual fund companies charging...

Real estate investment trusts (REITs) are often considered to be a distinct asset class. But, do REITs deserve this designation? While exact definitions for asset class vary, a number of statistical methods can provide strong evidence either for or against the suitability of the designation. The...

Strong assumptions needed to correctly specify parametric binary choice probability models make them particularly vulnerable to misspecification. Semiparametric models provide a less restrictive approach with estimators that exhibit desirable asymptotic properties. This paper discusses the...