Through this paper, we seek to shed light on the divergence between expected and observed returns. Empirical theory attributes this divergence to macroeconomic fundamental shocks. We try, via an ECM model, to study the existence of co-integration relations between macroeconomic volatility and...

This paper aims to shed light on the determinants of systematic risk in the global macro-finance interface. We estimate a time-varying two-factor ICAPM, using weekly equity returns and Msci market-capitalisation weighted basket of foreign currencies. We follow a two-step estimation procedure; in...

Through this article we shed light on equity home bias puzzle in the current global finance area. We aim to see where the problem lies and to highlight, theoretically and practically, its determining factors. In that framework, a sample of developed and developing markets is studied using annual...