Impact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects
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DOI: 10.1016/j.frl.2019.05.003
Abstract: Abstract This paper investigates the impacts of both the portfolio rebalancing and signalling channel effects associated with US unconventional monetary policy on the dynamic correlation between the stock and bond markets at different levels of… read more here.
Keywords: signalling channel; portfolio rebalancing; stock bond; stock ... See more keywords
The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel
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DOI: 10.1016/j.jcorpfin.2018.12.004
Abstract: We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB’s quantitative easing policy, in its first year of activity (June 2016 – May 2017). Focusing on the primary… read more here.
Keywords: cspp work; rebalancing channel; portfolio rebalancing; work yield ... See more keywords
Automated portfolio rebalancing: Automatic erosion of investment performance?
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DOI: 10.1057/s41260-020-00183-0
Abstract: Robo-advisers enable investors to establish an automated rebalancing strategy for a portfolio usually consisting of stocks and bonds. Since households’ portfolios additionally include further frequently tradable assets like real estate funds, articles of great value… read more here.
Keywords: households would; automated portfolio; performance; portfolio ... See more keywords
Anomalies enhanced: A portfolio rebalancing approach
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DOI: 10.1111/fima.12329
Abstract: Many anomalies are based on low frequency attributes, such as annual characteristics, that ignore higher frequency information. In this paper, we provide a simple strategy to incorporate the higher frequency information. We find that there… read more here.
Keywords: anomalies enhanced; enhanced portfolio; portfolio rebalancing; frequency ... See more keywords