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A conditional regime switching CAPM (2017)
Journal Article
Vendrame, V., Guermat, C., & Tucker, J. (2018). A conditional regime switching CAPM. International Review of Financial Analysis, 56, 1-11. https://doi.org/10.1016/j.irfa.2017.12.001

© 2017 Elsevier Inc. The standard Capital Asset Pricing Model (CAPM) is simple, intuitive, and grounded in sound economic theory. Yet, almost half a century's worth of empirical testing has so far failed to demonstrate its relevance. One major reason... Read More about A conditional regime switching CAPM.

The relationship between equity and bond returns: An empirical investigation (2017)
Journal Article
Tucker, J., Guermat, C., & Demirovic, A. (2017). The relationship between equity and bond returns: An empirical investigation. Journal of Financial Markets, 35, 47-64. https://doi.org/10.1016/j.finmar.2017.08.001

© 2017 Elsevier B.V. The correlation between equity and corporate debt is ambiguous. News affecting the value of a firm's assets induces a positive correlation, whereas an increase in the volatility of a firm's assets induces a negative correlation.... Read More about The relationship between equity and bond returns: An empirical investigation.