Source Themes

Real estate exposures to bond and equity return drivers
We evaluate listed and unlisted real estate asset classes from the perspective of an investor holding a diversified equity and fixed …
Michael Chin, Pavol Povala
Aug 18, 2024
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Simulating long-horizon returns on government bonds
We outline a macro-finance model for simulating long-horizon returns on government bonds. We show how the determinants of return …
Michael Chin, Pavol Povala
Mar 31, 2024
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Drivers of listed and unlisted real estate returns
We analyse the exposures of real estate to fundamental return drivers expected cash flows:, inflation, real interest rates, and risk …
Michael Chin, Pavol Povala
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Drivers of listed and unlisted real estate returns
Macro trends and long-horizon returns
We outline a macro-finance model for simulating long-horizon returns on government bonds and multi-asset portfolios. We show how the …
Michael Chin, Pavol Povala
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Macro trends and long-horizon returns
Withdrawals from the GPFG and potential trade-offs
We outline a simulation model of the Norwegian economy and the Government Pension Fund Global. We explore the trade-off between …
Michael Chin, Pavol Povala
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Withdrawals from the GPFG and potential trade-offs
Understanding international long-term interest rate comovement
Long-term interest rates of small open economies (SOE) correlate strongly with the USA long-term rate. Can central banks in those …
Michael Chin, Ferre De Graeve, Thomai Filippeli, Konstantinos Theodoridis
Sep 1, 2022
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Modelling equity market term structures
We outline a present-value modelling approach for estimating term structures of expected dividend growth and risk premiums in equity …
Michael Chin, Pavol Povala
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Modelling equity market term structures
The asset pricing effects of ESG investing
We discuss the asset pricing implications of the increasing consideration of Environmental, Social and Governance (ESG) issues in …
Michael Chin, Anna Kylkilahti, Pavol Povala
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The asset pricing effects of ESG investing
Portfolio delegation and the effects of benchmarks
We review the literature on portfolio delegation and examine the impact of benchmarked compensation on manager incentives, portfolio …
Michael Chin
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Portfolio delegation and the effects of benchmarks
Country and industry effects in global equity returns
We examine the importance of country and industry effects in global equity returns, and explore the implications for portfolio …
Michael Chin
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Country and industry effects in global equity returns