We study the investment behavior of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, net purchases by foreign investors induced a permanent increase in...

We evaluate the dividend tax clientele hypothesis using a data set of all stock portfolios in the market. Consistent with the predictions of Tax-CAPM, we find that tax-neutral investors tilt their stock portfolios towards dividend-paying stocks and earn about 40 basis points higher dividend...

This paper examines the impact that a currency target zone has on short-term interest rates. For a number of countries in the European Monetary System, we characterize the short rate using a regime-switching model that allows fbr a differently parameterized mean-reverting square-root process in...

We identify local and global factors across international bond markets that are poorly spanned by the traditional level, slope and curvature factors but have strong forecasting power for future bond excess returns. Local and global factors are jointly significant predictors of bond returns,...

We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than inactive investors. A performance decomposition analysis reveals that most of the...

We investigate inattention on the part of pension plan participants using a novel dataset covering savings in Sweden's Premium Pension System, data that permit direct comparison of the investment behaviors of pension and retail mutual fund investors. Unlike retail mutual fund investors, pension...

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in the global factor seem to drive risk premia and expected...

We recover a forward-looking distribution of expected abnormal returns (alphas)for active equity mutual funds from analyst ratings. Professional analysts believe thatalphas are dispersed, that the average fund will underperform, and that the largestfunds will outperform. We estimate a rational...

We provide a framework for using conditioning information in the process of global asset allocation. While we discuss strategies in a global setting, the same reasoning can be applied to other asset allocation programs with different investment objectives. We examine three levels of asset...