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Home Bias and Local Contagion : Evidence from Funds of Hedge Funds
Sialm, Clemens - 2013
This paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweight their investments in hedge funds located in the same geographical areas and that funds of funds with a...
Persistent link: https://www.econbiz.de/10013073953
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Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
Glode, Vincent - 2010
We provide new empirical evidence suggesting that the marginal investor in mutual funds behaves differently across market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance of funds should be unpredictable. We find however that...
Persistent link: https://www.econbiz.de/10013152571
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Global Portfolio Rebalancing Under the Microscope
Hau, Harald - 2010
Cross border capital flows and returns on assets are two key variables in international macroeconomics. Difficult endogeneity issues plague any analysis of their correlations in aggregate data. This paper examines the dynamics of international portfolios with a unique data set on the stock...
Persistent link: https://www.econbiz.de/10012758597
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Do Professional Currency Managers Beat the Benchmark?
Pojarliev, Momtchil - 2008
We investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns earned by currency fund managers have averaged 25 basis points per month. We examine the relationship of these...
Persistent link: https://www.econbiz.de/10012773121
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What Moves the Discount on Country Equity Funds?
Hardouvelis, Gikas A. - 2010
movements in the host country's stock market and overly sensitive to variation in the U.S. and world stock markets. This …
Persistent link: https://www.econbiz.de/10012763318
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International Risk Cycles
Gourio, Francois - 2011
uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in …
Persistent link: https://www.econbiz.de/10013121723
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International Capital Flows, Returns and World Financial Integration
Evans, Martin D.D. - 2005
in equity and debt markets. Such developments are often attributed to the increased integration of world financial … markets. We present a model that allows us to examine how greater integration in world financial markets affects the behavior … concentrated in bonds. As integration progresses and households gain access to world equity markets, the size and volatility of …
Persistent link: https://www.econbiz.de/10012784163
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Time-Varying World Market Integration
Bekaert, Geert - 2010
-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the …
Persistent link: https://www.econbiz.de/10012763564
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The Dynamics of Emerging Market Equity Flows
Bekaert, Geert; Harvey, Campbell R.; Lumsdaine, Robin L. - 2021
We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging …
Persistent link: https://www.econbiz.de/10013237551
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The Behavior of Intoxicated Investors : The Role of Institutional Investors in Propagating the Crisis of 2007-2008
Manconi, Alberto - 2010
Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with...
Persistent link: https://www.econbiz.de/10013140999