The equity premium (also called market risk premium, equity risk premium, market premium and risk premium), is one of the most important, discussed but elusive parameters in finance. The term equity premium is used to designate four different concepts (although many times they are mixed):...

This paper compares forecasts of real economic growth from models based on the stock market and bond market data. Although both contain information relevant for predicting GNP growth, the bond market delivers more accurate predictions. The bond market predictions are compared to the forecasts of...

One version of the consumption-based asset pricing model implies a linear relation between expected returns and expected consumption growth. This paper provides evidence that the expected real term structure contains information that can be used to forecast consumption growth. The evidence is...

En este documento se valoran varias emisiones de bonos bolsa (un tipo de bonos estructurados) emitidos en Espantilde;a. Estis instrumentos financieros son la combinacioacute;n de un bono y una o maacute;s opciones.I value several issues of 'bonos bolsa' issued in Spain. These instruments are the...

En este documento se muestra coacute;mo utilizar la simulacioacute;n para valorar opciones y otros instrumentos financieros. Tambieacute;n se muestra coacute;mo se ha de realizar la simulacioacute;n para, al valorar opciones, obtener el mismo resultado que con la foacute;rmula de Black y Scholes.MBA...

We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the Markowitz approach: the ability to handle higher moments and estimation error. We employ the skew normal distribution which has many attractive features...

Final working paper version. "" Published version: The Review of Financial Studies, Volume 31, Issue 7, July 2018, pp. 2499–2552. Past fund performance does a poor job of predicting future outcomes. The reason is noise. Using a random effects framework, we reduce the noise by pooling...

Currently the real, inflation-adjusted, price of gold is almost as high as it was in January 1980 and August 2011. Since 1975, periods of high real gold prices have occurred during periods of elevated concern about high future price inflation. Five years after the real price peaks in January...

Factor investing has failed to live up to its many promises. Its success is compromised by three problems that are often underappreciated by investors. First, many investors develop exaggerated expectations about factor performance as a result of data mining, crowding, unrealistic trading cost...

A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed portfolio weights, is an active strategy. Winning asset classes are sold and losers are bought. During crises, when markets are often trending, this can lead to substantially larger drawdowns than a...