We describe how networks based on information theory can help measure and visualize systemic risk, enhance diversification, and help price assets. To do this, we first define a distance measure based on the mutual information between asset pairs and use this measure in the construction of...

Asset returns are not correlated with the business cycle but are primarily caused by the economic cycles. To validate this claim, economic cycles are first rigorously defined, namely the classical business cycle and the growth cycle, better known as the output gap. The description of different...

Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios than portfolios with a constant notional exposure. We show that this result only holds for “risk assets”, such as equity and credit, and link this to the so-called leverage effect for those assets. In...

Dollar carry trade risk premiums – unlike dollar-neutral or foreign exchange carry risk premiums – are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default...

Dollar carry trade risk premiums - unlike dollar-neutral or foreign exchange carry risk premiums - are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default spread....

We examine asset class and factor premiums across inflationary regimes. As periods of high inflation and deflation are relatively uncommon in recent history, we use a deep sample starting in 1875. Moderate inflation scenarios provide the highest returns across asset class and factor premiums....

The apparent predictability of stock prices and the related profitability of investment strategies based on it has generated a great deal of research. Since the late eighties, momentum strategies have attracted a lot of the attention and have been found to be very profitable mainly for US stock...

This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-filtering method to the indicator to...

The present paper examines the evolution of FDI flows generated and received by ten new member states of the EU (NMS minus Cyprus and Malta, EEC-10) during the period 2000-2011, with the aim to identify their dynamics, composition and performance. Taking into consideration the EEC-10' high...

In the present case study, our main objective is to bring to the forefront the main factors that led to the double-dip recession of the Cypriot economy. We analyze determinants such as "tax haven" status, interlinks with the Greek economy, spillovers originating in the Euro Area as a whole...