Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms' returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock...

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms’ returns experience an increase in comovement with the rest of the index, reflected in higher beta and greater explanatory power of the market return. Stock...

January 2000 - Corporate financing patterns around the world reflect countries' institutional environments. Weaknesses in the corporate sector have increasingly been cited as important factors in financial crises in both emerging markets and industrial countries. Analysts have pointed to weak...

We present an analytical framework for active strategic risk management for sovereign wealth funds (SWFs). This paper extends our previous work on foreign exchange reserves management that integrates risk-return objectives with macroeconomic, macro-prudential and sovereign debt management...