Sovereign bonds, coskewness, and monetary policy regimes
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DOI: 10.1016/j.jfs.2020.100783
Abstract: Abstract Consistent with flight-to-quality, the coskewness between developed market sovereign bonds and global equity markets can help explain bond returns. A coskewness factor, defined as the return difference between the most negative coskewness bond portfolio… read more here.
Keywords: bonds coskewness; monetary policy; coskewness; sovereign bonds ... See more keywords
Coskewness timing ability in the mutual fund industry
Sign Up to like & getrecommendations! Published in 2020 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2020.101224
Abstract: Abstract The ability of mutual fund managers to time coskewness successfully can help them manage their portfolio’s exposure to potential losses and improve their fund’s performance. This study assesses whether mutual fund managers are able… read more here.
Keywords: fund managers; ability mutual; coskewness; fund ... See more keywords