This paper developes a model of optimal consumption and portfolio choice for infinitely-lived investors facing stochastic interest rates, solve it using an approximate analytical method, and evaluate the conventional wisdom.

This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.

This paper reviews some recent developments in the area of optimal international portfolio diversification and investigates important issues for future research.

This paper delevops a tools to analyse the ordering of concordance of random vectors.

This paper shows that preferences alone cannot explain the patterns reported in the literature.

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap transaction data.

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.

The paper explores whether the co-movement of market returns and equity fundflows can be explained by a common response to macroeconomic news. I findthat variables that predict the real economy as well as the equity premium arerelated to mutual fund flows. Changes in dividend-price ratio explain...

This paper investigates the returns and °ows of German money marketfunds before and during the liquidity crisis of 2007/2008. The main¯ndings of this paper are: in liquid times, money market funds en-hanced their returns by investing in less liquid papers. By doing sothey outperformed other...