Source Themes

No-trade band rebalancing rules - expected returns and transaction costs
We explore equity share rebalancing using no-trade band rules. We compare rules based on their implications for the behaviour of the …
Michael Chin, Pavol Povala
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No-trade band rebalancing rules - expected returns and transaction costs
Financial market volatility, macroeconomic fundamentals and investor sentiment
In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor …
Michael Chin, Jeremy Chiu, Richard Harris, Evarist Stoja
Jul 1, 2018
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Petroleum wealth and the oil price exposure of equity sectors
We analyse the short- and long-term co-movement of equity sectors with oil prices. We discuss how Norwegian petroleum wealth is exposed …
Michael Chin, Haakon Buer
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Petroleum wealth and the oil price exposure of equity sectors
International diversification for long-term investors
We explore the benefits of international diversification from the perspective of a long-term, multi-asset investor.
Michael Chin
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International diversification for long-term investors
Asset allocation with government revenues and spending commitments
We explore the implications of expanding the discussion about the equity share in the Norwegian Government Pension Fund Global to …
Michael Chin
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Asset allocation with government revenues and spending commitments
A joint affine model of commodity futures and US Treasury yields
We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. …
Michael Chin, Zhuoshi Liu
Mar 1, 2015
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A forecast evaluation of expected equity return measures
Recent studies find evidence in favour of return predictability, and argue that their positive findings result from their ability to …
Michael Chin, Christopher Polk
Jan 1, 2015
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