This study focuses on assets related to Sustainable Development Goals (SDGs), which are
the most recent aspect of the Socially Responsible Investment framework and have caught …

This study examines the multiscale links between economic policy uncertainty (EPU) and
sectoral stock returns in China, India, the UK, and the US. We find that the impact of …

In this paper, we investigate the risk-adjusted performance of US sector portfolios and sector
rotation strategy using the alphas from the Fama–French five-factor model. We find that five …

Market indicators such as CPI and GDP have been widely used over decades to identify the
stage of business cycles and also investment attractiveness of sectors given market …

Based on anecdotal evidence, regulatory arbitrage was a major catalyst of the recent
financial crisis. However, regulatory arbitrage is both theoretically and empirically not yet …

We investigate the response of UK asset prices to a large set of domestic scheduled
macroeconomic announcements using data at a daily frequency from 1998 to 2017. Our …

The authors applied out-of-sample sector forecasts with firm fundamentals ratios to form real-
time portfolio allocation strategies. Results documented the importance of profitability …

Equity sectors are often ascribed static economic classifications that fail to consider their
dynamic and time-varying fundamental characteristics across business cycles. Leveraging …

Industry rotation has gradually become a hot topic in academic research. Analyzing the laws
of industry rotation and predicting industry trends are of great guiding significance for funds …

Understanding the Intersection Between Style Exposure, Sector Rotation, and the Business
Cycle | Financial Planning Association Skip to main content Accessibility Main Menu Financial …