Denis B. Chaves

The Capital Group Companies

333 S. Hope Street, 53rd Floor

Los Angeles, CA 90071

United States

  • The Capital Group Companies

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 16,408

SSRN RANKINGS

Top 16,408

in Total Papers Downloads

5,885

SSRN CITATIONS

5

CROSSREF CITATIONS

6

Scholarly Papers (13)

Actions:
Email selected abstracts
1.

Eureka! A Momentum Strategy that Also Works in Japan

Number of pages: 32 Posted: 09 Jan 2012 Last Revised: 13 Jan 2012
Denis B. Chaves
The Capital Group Companies
Downloads 2,707 (9,789)
Citation 7

Abstract:

Loading...

Momentum

2.

Demographic Changes, Financial Markets, and the Economy

Downloads 1,990 (15,924)

Demographic Changes, Financial Markets, and the Economy

Financial Analysts Journal, Vol. 68, No. 1, January/February 2012
Number of pages: 28 Posted: 17 Apr 2011 Last Revised: 28 Dec 2016
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Capital Group Companies
Downloads 1,990 (15,650)
Citation 2

Abstract:

Loading...

demography, demographics

Demographic Changes, Financial Markets, and the Economy

Financial Analysts Journal, Vol. 68, No. 1, 2012
Posted: 24 Jan 2012
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Capital Group Companies

Abstract:

Loading...

Economics, Economic Growth and Development, Equity Investments, Equity Market Valuation and Return Analysis, Analysis of World Security Markets, Fixed Income, Macroeconomic Effects on Fixed-Income Yields, Portfolio Management, Economic Analysis and Capital Market Expectations

3.

What Explains the Variance of Prices and Returns?: Time-series Vs. Cross-section

Number of pages: 49 Posted: 19 Nov 2009 Last Revised: 23 Nov 2009
Denis B. Chaves
The Capital Group Companies
Downloads 689 (73,564)
Citation 2

Abstract:

Loading...

variance decomposition, expected return, discount rate news, cash flow news, predictability, present value

4.

The Information in the Term Structure of Commodity Futures

Number of pages: 22 Posted: 10 Jan 2012
Denis B. Chaves, Vitali Kalesnik and Bryce Little
The Capital Group Companies, Research Affiliates Global Advisors and Citadel LLC
Downloads 499 (110,207)

Abstract:

Loading...

commodities, futures, expectations hypothesis, term structure

5.

Time-Varying Risk Premiums and Term Premiums in Commodity Futures

Journal of Alternative Investments, Vol. 19, No. 4, 2017
Posted: 28 Mar 2017
Denis B. Chaves
The Capital Group Companies

Abstract:

Loading...

Commodities

6.

A New 'New Normal' in Demography and Economic Growth

Journal of Indexes, September/October 2013
Posted: 08 Feb 2017
Robert D. Arnott and Denis B. Chaves
Research Affiliates, LLC and The Capital Group Companies

Abstract:

Loading...

7.

Momentum and Mean-Reversion in Commodity Spot and Futures Markets

Journal of Commodity Markets, vol. 3, no. 1, September 2016, pp. 39-53
Posted: 02 Sep 2016 Last Revised: 30 Dec 2016
Denis B. Chaves and Vivek Viswanathan
The Capital Group Companies and Rayliant Global Advisors

Abstract:

Loading...

Commodity Futures; Basis; Momentum; Mean-Reversion; Trend-Following; Trading Strategies

8.

King of the Mountain: Shiller P/E and Macroeconomic Conditions

https://doi.org/10.3905/jpm.2017.44.1.055
Posted: 07 Aug 2015
Robert D. Arnott, Denis B. Chaves and Tzee-man Chow
Research Affiliates, LLC, The Capital Group Companies and Research Affiliates, LLC

Abstract:

Loading...

inflation,real interest rates,shiller P/E

9.

What Drives the Value Premium? Risk versus Mispricing: Evidence from International Markets

Journal Of Investment Management (JOIM), Fourth Quarter 2013
Posted: 15 Nov 2014
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Joseph (Yoseop) Shim
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Research Affiliates, LLC

Abstract:

Loading...

Value premium, mispricing, risk, value, growth, book-to-market ratio, beta, HML

10.

Efficient Algorithms for Computing Risk Parity Portfolio Weights

Journal of Investing, vol. 21, no. 3, Fall 2012, pp. 150-163.
Posted: 26 Jul 2012 Last Revised: 30 Dec 2016
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Feifei Li and Omid Shakernia
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

Loading...

risk parity, asset allocation, portfolio management

11.

Rebalancing and the Value Effect

Journal of Portfolio Management, Vol. 38, No. 4, 2012
Posted: 10 Jan 2012 Last Revised: 26 Sep 2022
Denis B. Chaves and Robert D. Arnott
The Capital Group Companies and Research Affiliates, LLC

Abstract:

Loading...

value, growth, rebalancing

12.

What Drives the Value Premium? Risk versus Mispricing: Evidence from International Markets

Journal of Investment Management, vol. 11, no. 4, 2013 (Fourth Quarter).
Posted: 08 Oct 2011 Last Revised: 07 Feb 2017
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Joseph (Yoseop) Shim
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Research Affiliates, LLC

Abstract:

Loading...

value strategy, value premium, value factor, value investing

13.

Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios

Journal of Investing, Vol. 20, No. 1, pp. 108-118, Spring 2011
Posted: 27 Aug 2011 Last Revised: 28 Dec 2016
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Feifei Li and Omid Shakernia
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

Loading...

risk parity, heuristic