Series: IMF Working Papers
Author(s): Bradley Jones
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 29 February 2016
Keywords: Asset Allocation, Asset Owners, Momentum, Risk Management, asset, investment, risk, returns, Asset Pricing, Government Policy and Regulation
Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations? And if countercyclical investment (with both market-stabilizing and return-generati...