The correlation structure of the world equity markets varies considerably over the past 150 years. We show that correlations were high during periods of economic and financial integration. We decompose the benefits of international diversification into two parts: a component that measures...

We test a Wall Street investment strategy, pairs trading, with daily data over 1962-2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11 percent for selffinancing portfolios of...

Over the years numerous portfolio performance measures have been proposed. In general they are designed to capture some particular enhancement that might result from active management. However, if a principal uses a measure to judge an agent, then the agent has an incentive to game the measure....

Real estate is regarded as an inflation hedge, however the autocorrelation of property return indices and the autocorrelation of changes in the CPI pose serious problems of inference. In this paper we address these problems in two ways. First, we use robust methods to test of changes in the...

Abstract: A variety of models have been proposed to explain the rise andfall of stocks prices in the U.S. around the turn of the millennium. Manymodels focus on behavioral explanations in which and investor beliefsabout their own capabilities and the efficiency of market prices play a role. In...

Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, we develop a quantitative model called the amp;#969;-Score to measure hedge fund operational risk. The amp;#969;-Score is related to conflict of interest issues, concentrated ownership, and reduced leverage...

High market values and the recognition of its investment potential make art a potential source of collateral for loans. Recently, firms specializing in art lending have emerged to serve this market. This study explores the effect of regional variations in economic and financial conditions on...

This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, we demonstrate that equity market returns have had a significant impact on the price level in the art market over the last two centuries. We also find evidence that an...

We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of investor sentiment, and validate this index using data from both the United States and Japan. In...

This paper explores the role played by multiple credit rating agencies (CRAs) in the market for corporate bonds. Moody's, Samp;P and Fitch operate in a competitive setting with market demand for both credit information and the certification value of a high rating. We empirically document the...