the JOIM

Vol. 22, No. 2, 2024 by Andrew Ang, Henry Shen, Jeff Shen and Rui Zhao We develop a model of optimal asset allocation with a market that has the potential to decouple. There are three Markov regimes: a regime where the market remains fully investable, a second regime where the market may become potentially decouple… Read more

Vol. 22, No. 2, 2024 by Ted Daverman, Joshua Kazdin, Michael Pensky and Fiona Sloof In this paper, we discuss the impact of extreme weather on US families with a specific focus on household finances. We first derive a life-cycle model of consumption, then introduce climate change-oriented consumption shocks as an additional expense which is… Read more

Vol. 22, No. 2, 2024 by Victor Haghani, Vladimir Ragulin and Richard Dewey Our research in single name stocks suggests that retail trading likely explains the phenomenon of outsized overnight returns at both the level of the overall stock market, and that of individual stocks. We find that the effect exists at the index level… Read more

Vol. 22, No. 2, 2024 by Megan Czasonis, Mark Kritzman and David Turkington After years of spirited debate, most investors agree that to minimize the risk currencies add to a portfolio they should hedge its currency exposures based on its betas relative to the currencies to which it is exposed. However, this notion of hedging… Read more