Abstract The global financial crisis and its aftermath, the global economic crisis followed by global recession have raised pertinent questions in appraising theories and practices in more than a few areas. An intently technical view of the proceedings reflects on the predicaments to be, in...

The paper develops foreign equity bias measures for Australian domiciled mutual funds, which invest in 41 countries worldwide, over the period 2002 to 2012, by employing various models i.e. International Capital Asset Pricing, Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and...

The paper develops measures of home bias for 48 countries over the period 2001 to 2011 by employing various models: International Capital Asset Pricing Model (ICAPM), Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and Multi-Prior. ICAPM country portfolio weights are computed relative to...

There has been growth in globalization as a result of increased liberalization. This has also resulted in an increase in the role of financial institutions, such as banks. It is the purpose of this study to test Classen’s (2001) hypothesis that increase foreign bank presence has positive...

In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for cost effective and more efficient factors of...

In the past decades, there has been an unprecedented increase in cross border transactions between countries in terms of goods and financial flows. This integration has been fuelled by search of lower risk investments, risk diversification, search for cost effective and more efficient factors of...

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

This study recalibrates corporate bond idiosyncratic risks in an international context. Applying a statistically powerful risk decomposition scheme, we show in this study that diversification is improved by the addition of a global risk benchmark. We build a long-run stationary yield spread...

The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model on the Zagreb stock exchange during the drop in the total trade turnover, and mostly in the trade of equity securities. This model shows through the analysis techniques used to...

The world economy currently suffers from a global financial and economic crisis that has become severe since the second half of 2008. This global financial situation was triggered by the advent of the subprime mortgage crisis in the United States that became apparent from the mid-2007s. Europe...