Recommended articles: Financial Risk Management in Financial Markets
Today I share with you a series of articles published by VOX, CEPR Policy Portal between January 2 and 16 of this year dedicated to risk management in financial markets: 1. Credit cycles and asset returns. Investor experience and academic research since the Global Crisis reflects a growing realisation that credit conditions can affect future macroeconomic outcomes. This column investigates whether credit booms throughout history have had any explanatory power to account for future asset class returns. It finds that credit booms tend to systematically predict poor returns in the near future for equities in absolute terms, and relative to bonds. An investor who had tilted their portfolio allocations based on a credit boom signal would have been able to improve portfolio performance. The contribution of the credit boom signal is meaningful when compared to other well-established signals such as momentum and value . Keywords: credit cycles, asset returns, investment per...