Value investing across asset classes

The pricing of volatility risk across asset classes

In the Merton (1973) ICAPM, state variables that capture the evolution of the investor’s opportunity set are necessary to explain observed asset prices. We show that augmenting the CAPM by a measure of market-wide volatility innovation yields a twofactor model that performs well in explaining the cross-section of returns on securities in several asset classes. The consistent pricing of volatili...

The Societal Function of Investment Asset Classes: Implications for Responsible Investment Conference, Initiative for Responsible Investing at Harvard University

Intermediary Asset Pricing: New Evidence from Many Asset Classes

We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer counterparties of the New York Federal Reserve—possess significant explanatory power for crosssectional variation in expected returns. This is true not only for commonly studied equity and government bond market portfolios, but also for other more sophisticated asset classes such as corporate and sovereig...

Robust Asset Allocation for Long-Term Target-Based Investing

4 This paper explores dynamic mean-variance asset allocation over long horizons. This is 5 equivalent to target-based investing with a quadratic loss penalty for deviations from the target 6 level of terminal wealth. We provide a number of illustrative examples in a setting with a 7 risky stock index and a risk-free asset. Our underlying model is very simple: the value of the 8 risky index is a...

Modified output in task-based EFL classes across gender

AbstractThe current study examined the modification devices (MDs) used by non-native speakers (NNSs) learning EFL during dyadic task-based interactions. Three meaning-oriented tasks, namely picture-description, spot-the-difference, and opinion-exchange, were used to elicit data from 24(12 male and 12 female, forming 4 male-male, 4 female-female, and 4 male-female dyads) Iranian EFL learners wit...