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Pinkowitz, Lee - 2012

equilibrium. We construct an estimate of the world portfolio of shares available to investors who are not controlling shareholders …. This available world portfolio differs sharply from the world market portfolio. In regressions explaining the portfolio … weights of U.S. investors, the world portfolio of available shares has a positive significant coefficient but the world market …

Persistent link: https://www.econbiz.de/10012755951

Decomposing the U.S. External Returns Differential

Curcuru, Stephanie E. - 2010

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10013152498

The Holders and Issuers of International Portfolio Securities

Galstyan, Vahagn - 2016

Research on the geographical distribution of international portfolios has mainly focused on data aggregated to the country level. We exploit newly-available data that disaggregates the holders and issuers of international securities along sectoral lines. We find that patterns evident in the...

Persistent link: https://www.econbiz.de/10012985950

The Risk Tolerance of International Investors

Froot, Kenneth; O'Connell, Paul G.J - 2003

in fundamental value. In this paper, we take an alternative approach by looking at the world-wide holdings and trading of …

Persistent link: https://www.econbiz.de/10014074149

International Portfolio Diversification and Labor/Leisure Choice

Jermann, Urban J. - 2021

When marginal utility of consumption depends on leisure, investors will take this into account when allocating their wealth among different assets. This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor-leisure and consumption are chosen...

Persistent link: https://www.econbiz.de/10013311869

International Portfolio Diversification and Multilateral Effects of Correlations

Bergin, Paul R. - 2012

Not only are investors biased toward home assets, but when they do invest abroad, they appear to favor countries with returns more correlated with home assets. Often attributed to a preference for familiarity, this ‘correlation puzzle' further reduces effective diversification. However, a...

Persistent link: https://www.econbiz.de/10013109442

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012984772

The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds

Brown, Keith C. - 2013

Using data for more than 800 college and university endowment funds over 2003-2011, we provide a comprehensive analysis of the spending policies used in practice as well as how frequently and why those mandates are revised over time. Given the long-term and relatively static nature of the...

Persistent link: https://www.econbiz.de/10013074591

Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency

Breugem, Matthijs - 2017

We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...

Persistent link: https://www.econbiz.de/10012952505

Factor Momentum and the Momentum Factor

Ehsani, Sina - 2019

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

Persistent link: https://www.econbiz.de/10012892574

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