We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semi-public information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semi-public...

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the empirical finance literature it is known that tick-by-tick prices are subject to market micro-structure such as bid-ask bounces and trade information. Such market micro-structure...

This discussion paper resulted in a publication in 'Emerging Markets Review', 2005, 6, 238-262.<P> See also the publication in the 'Journal of Empirical Finance', 2003, 10, 1-5=132.<P> Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging...</p></p>

This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>

A banking union limits international bank default contagion, eliminating inefficient liquidations. For particularly low short term returns, it also stimulates interbank flows. Both effects improve welfare. An undesirable effect arises for moderate moral hazard, as the banking union encourages...

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. marketand, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to thestandard "variance ratio'' approach,...

This paper analyses Net Private Capital Flows to LICs incorporating the recent surge in FDI between 2000 and 2006. We show that including country-specific effects in a paneldata setup resolves the Lucas Paradox, at least for LICs. Our results suggest that openness is among the most important...