In this analysis of the risk and return of stocks in the United States and global markets, we apply several portfolio construction and optimization techniques to U.S. and global stock universes. We find that (1) mean-variance techniques continue to produce portfolios capable of generating excess returns above transaction costs and statistically significant asset selection, (2) optimization tech...

Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study is able to ascertain similarities and divergences in the tail returns fro...

We investigate predictability in national equity market returns, and its relation to global economic risks. We show how to consistently estimate the fraction of the predictable variation that is captured by an assetpricing modelfor the expected returns. We use a model in which conditional betas of the national equity markets depend on local information variables, while global risk premia depend...

In recent years, equity-linked certificates of deposit (ELCDs) have become widely available to investors as banks strive to remain competitive. Banks sell these instruments as having the safety of a traditional CD with potential market-like returns. However, valuing these instruments can be difficult because the terms vary and the returns depend upon future market conditions. This paper uses Mo...

intellectual capital is set of knowledge-based assets that belongs to an organization and will add value to key organizational stakeholders and this leads to a better competitive situation. the objective of this research is to investigate the relationship between intellectual capital and companies' performance in iran during 1382-1387 using lisrel software. earning per share, return on equ...

W e present a method for forecasting sales using financial market information and test this method on annual data for US public retailers. Our method is motivated by the permanent income hypothesis in economics, which states that the amount of consumer spending and the mix of spending between discretionary and necessity items depend on the returns achieved on equity portfolios held by consumers...

This paper investigates how data requirements can induce a non-random selection of observations from the reference sample to which the researcher wishes to generalize test results. We illustrate the effects of non-random sampling on results of association tests in a setting with data on one variable of interest for all observations, and frequently-missing data on another variable of interest. W...

Any rational pricing phenomenon in the cross section of equity returns must also show up in the corresponding corporate bond returns. We use this powerful insight to investigate whether the equity and corporate bond markets are integrated with respect to risk premia associated with anomalies. We find that the two markets are not integrated through factors suggested by structural credit risk mod...