Using data from 2003-2007, we calculate the systematic risk and cost of equity for firms listed on USE; Preliminary estimates show that nominal Cost of equity capital reduced over time from 63.24 percent (January 2005 to January 2006) to 18% (February 2006 to March 2007). The efficient frontier...

This paper demonstrates that, after integration, equity portfolios of countries that joined the European Monetary Union have converged at faster rate than those of NON EMU countries. This outcome canbe interpreted as a combination of the convergence of inflation rates and the convergence of...

Prior research documented that U.S. stock prices tend to grow faster during Democratic administrations than during Republican administrations. This letter examines whether stock returns in other countries also depend on the political orientation of the incumbents. An analysis of 24 stock markets...

Non professional investors display a much higher degree of home bias than fiancial investors suggesting that they might be more severely a¤ected by information asymmetry issues. In particular, non professional investors, having less easily access to information on foreign firm-specific...

The shift of perspective from a national basis to a Euro area basis, inevitably induced by EMU, has led member countries to a parallel shift from equity home bias to equity Euro bias. We interpret this evidence by means of a standard mean-variance portfolio selection model modified in order to...

This paper presents empirical evidence on the increasing allocation of institutional investors to emerging markets economies. It seeks to understand which factors are driving this increase, and how this relates to portfolio flows to such economies. By making use of the Emerging Portfolio Fund...

This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...

This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...