In this paper I estimate the impact of changes in real and financial wealth � proxied by house and stock market prices � on private consumption for a panel of sixteen emerging economies in Asia and Central and Eastern Europe. Using recent econometric techniques for heterogeneous...

In this paper, I investigate the characteristics of house price dynamics for a sample of 16 emerging economies from Asia and Central and Eastern Europe, over the period 1995-2011. Linking housing valuations to a set of conventional fundamental determinants � relative to both the supply and...

Malkiel and Xu (1997) state that idiosyncratic volatility is highly correlated with size and that it plays a powerful role in explaining expected returns. In this paper we ask (a) whether idiosyncratic volatility is useful in explaining the variation in expected returns; and, (b) whether our...

In this paper we compare the performance of the traditional CAPM with the multifactor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the explanatory power of idiosyncratic volatility and respond to the claim that multifactor model findings...

Using a clustering procedure, we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante...

The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting policies of financial intermediaries and by the new capital...

This paper analyzes the Risk Appetite Index (RAI), a measure of investors� risk aversion proposed by Kumar and Persaud (2001, 2002). We show that the RAI distinguishes between risk and risk aversion only under theoretically restrictive assumptions on the distribution of returns and the...