This paper investigates the impact of individual bank fundamental variables onstock market returns using data from a panel of 235 European banks from 1991to 2005. The sample period marks a significant transition in the European bankingsector, characterized by higher competition, lower profit...

Stock returns in emerging markets are to some extent predictable on the basis of selected instrument variables. We show that local information is more important than global information to capture emerging stock market returns. This is an indication for at least partial segmentation of emerging...

We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we...

We investigate the conditional performance of a sample of German equity mutual funds over the period from 1994 to 2003 using both the beta-pricing approach and the stochastic discount factor (SDF) framework. On average, mutual funds cannot generate excess returns relative to their benchmark that...

"Recent empirical research shows evidence of a positive relationship between the quality of firm-specific corporate governance and firm valuation. Instead of looking at one single corporate governance mechanism in isolation, we construct a broad corporate governance index and apply five...

"Recent empirical work shows evidence for higher valuation of firms in countries with a better legal environment. We investigate whether differences in the quality of firm-level corporate governance also help to explain firm performance in a cross-section of companies within a single...