This paper examines the performance of momentum trading strategies in foreign exchange
markets. We find the well-documented profitability of momentum strategies during the 1970s …

This paper examines the dynamic relationship that exists between the US real estate and
S&P 500 stock markets between the years of 1972 to 1998. This is achieved by conducting …

An alternative approach to test whether the real estate and stock markets are cointegrated is
presented. A nonlinear test, which allows for a stochastic trend term as opposed to a …

The literature is not clear on whether there are co-dependencies domestically across real
estate and stock markets, nor whether there are international co-dependencies for these asset …

This paper explores the relationship between the Australian real estate and equity market
between 1980 and 1999. The results from this study show three specific outcomes that extend …

… Kolb John Okunev … John Okunev is a Professor in the Faculty qf Commerce and
Administration, Victoria University of Wellington. … 2, 177-186 (1992) G 1992 by John Wiley …

The risk/return trade‐off is a perennial problem of portfolio managers. Portfolio diversification
strategies should be such that investments are held in markets that are well‐insulated from …

This paper compares the behavior of real interest rate differentials across the major countries
under the Bretton Woods regime and the regime of floating exchanges that replaced it. The …

… Kolb John Okunev … John Okunev is a Professor in the Department of Accounting and
Finance, University of Nottingham. … For a more detailed explanation of the calculation of …

This paper analyzes the risk characteristics for various hedge fund strategies specializing in
fixed income instruments. Because fixed income hedge fund strategies have exceptionally …