In this paper we study the intraday price formation process of country Exchange Traded Funds (ETFs). We identify specific parts of the US trading day during which Net Asset Values (NAVs), currency rates, premiums and discounts, and the S&P 500 index have special effects on ETF prices, and...

This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we...

The recent global financial crisis demonstrates that market liquidity is a prominent systematic risk globally. We find that local liquidity risk, in addition to the local market, value and size factors, demands a systematic premium across stocks in 11 developed markets. This local pricing...

The maximum daily return over the previous month (MAX) of Bali et al. (2011) is a strong and significant predictor of future stock returns in non-U.S. equity markets. Once it is controlled for MAX in the cross-section of average returns, the puzzling negative idiosyncratic volatility-return...

This paper investigates the impact of domestic investor protection on equity cross-border investment. We bring to light the lower sensitivity of foreign investment to destination countries’ corporate governance for those investors enjoying a higher degree of investor protection at home. This...

This paper addresses the questions whether European mutual fund managers rely on sell-side analyst information and whether this behavior impacts fund performance. Results show that mutual funds significantly increase (decrease) their holdings in stocks when any of the consensus forecast measures...

This paper explains exchange rate dynamics by linking financial customers’ foreign exchange order flow with their dynamic portfolio reallocation. For any currency pair in a particular period, one currency has higher assets return than the other and can be considered the high-return-currency...

In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we...

This paper investigates the diversification contribution of several commodities to a portfolio of traditional assets from the perspective of a euro investor. The approach applied in our analysis has high informational content as it differentiates between the sources of the diversification...

This paper examines foreign institutional investors’ portfolio allocation and performance in US securities. We test how information immobility, proxied by information barriers between the investors’ home markets and the US, influences portfolio strategies. Consistent with theoretical...