Abstract We study the economic value of market timing in foreign exchange (FX) markets, that is, using information about conditional Sharpe ratio to adjust notional a conditionally mean–variance efficient currency portfolio. Our strategy trades more (less) aggressively when risk-return trade-off is favorable. This leads significant improvement out-of-sample unconditional ratio, skewness, and ma...

Abstract We document that long-run excess returns following announcements of share buyback authorizations and insider purchases are a U-shaped function firm centrality in the input–output trade-flow network. These results conform to model investors endowed with large but finite capacity for analyzing firms. Additional links weaken insiders’ informational advantage peripheral firms (simple whose...

We assess and analyze the three components of active management (asset allocation, market timing and security selection) in the performance of pension funds. Security selection explains most of the differences in pension fund returns. Large pension funds in our sample on average provide value to their clients after accounting for all investment-related costs, both before and after risk-adjustin...