Ralph S. J. Koijen

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We propose a latent-variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the whole history of the price-dividend ratio and dividend growth rates to obtain predictors for future returns and dividend growth rates. We(More)
We study an institutional investment problem in which a centralized decision maker, the Chief Investment Officer (CIO), for example, employs multiple asset managers to implement investment strategies in separate asset classes. The CIO allocates capital to the managers who, in turn, allocate these funds to the assets in their asset class. This two-step(More)
We study the consumption and portfolio choice problem for a life-cycle investor who allocates wealth to equity and bond markets. Consistent with recent empirical evidence, we accommodate time variation in bond risk premia. We analyze whether and when the investor, who has to comply with borrowing, short-sales, and liquidity constraints, can exploit(More)
We decompose long-term yields into a persistent component and maturity-related cycles to study the predictability of bond excess returns. Predictive regressions of one-year excess bond returns on a common factor constructed from the cycles give R 2 's up to 60% across maturities. The result holds true in different data sets, passes a range of out-of-sample(More)
This paper finds that concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of non-energy commodities in the US became increasingly correlated with oil and this trend was significantly more pronounced for commodities in the two popular SP-GSCI and DJ-UBS commodity indices. This finding reflects a(More)
of the Basque Country. We gratefully acknowledge the financial support of Inquire Europe. Koen Inghelbrecht acknowledges financial support from the National Bank of Belgium. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. ABSTRACT We study the economic sources of(More)
Using the dollar-value a mutual fund manager adds as the measure of skill, we find that not only does skill exist (the average mutual fund manager adds about $2 million per year), but this skill is persistent, as far out as 10 years. We further document that investors recognize this skill and reward it by investing more capital with skilled managers. Higher(More)
We develop a pair of risk measures for the universe of health and longevity products that includes life insurance, annuities, and supplementary health insurance. Health delta measures the differential payoff that a policy delivers in poor health, while mortality delta measures the differential payoff that a policy delivers at death. Optimal portfolio choice(More)
JEL classification: E44 G12 G14 Keywords: End-of-the-year (fourth quarter) economic growth Expected returns Surplus consumption ratio Consumer confidence a b s t r a c t We show that macroeconomic growth at the end of the year (fourth quarter or December) strongly influences expected returns on risky financial assets, whereas economic growth during the rest(More)