, suggesting that investor 'sentiment' is a component of the price of a fund and not its NAV. Estimation of an unobserved … movements in the host country's stock market and overly sensitive to variation in the U.S. and world stock markets. This …

segmented. While industrial, office and retail properties exist all around the world, they are not economic substitutes because … attribute a substantial amount of the correlation across world property markets to the effects of changes in GNP, suggesting …

This paper tests if real and financial linkages between countries can explain why movements in the world's largest … between the world's 5 largest economies and about 40 other markets to decompose the cross-country factor loadings into: direct … to be the most important determinant of how movements in the world's largest markets affect financial markets around the …

We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider …

-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or estimation risk … the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the … sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates …