Welcome to the Investment Research Report. Quarter by quarter the Investment Research Report surveys over 50 leading academic journals to bring you analysis and assessment of the latest academic research on investment theory and practice. Our email newsletter is distributed to investment professionals in over 20 countries world-wide.
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Subscribe to receive your free copy today. The researchers have developed a model which predicts a persistent pattern in long term forward rate spreads, and suggests a direct relationship between the shape of the forward curve and the variance of zero coupon yields. Their findings have important implications for classical yield spread trading and volatility arbitrage strategies. But Mark Mitchell of Harvard Business School and Todd Pulvino of Kellog Graduate School of Management have produced an important piece of empirical research giving fresh insight into the risk-reward characteristics of equity risk arbitrage.