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Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms
Bekaert, Geert - 2016
Drawing on a novel database of the 401(k) plans of 296 firms, we examine the international equity allocations of 3.8 million individuals over the period 2005-2011. We find enormous cross-individual variation, ranging from zero to more than 75%, and strong cohort effects, with younger cohorts...
Persistent link: https://www.econbiz.de/10013006222
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Who Is Internationally Diversified? Evidence from the 401(k) Plans of 296 Firms
Bekaert, Geert - 2016
Drawing on a novel database of the 401(k) plans of 296 firms, we examine the international equity allocations of 3.8 million individuals over the period 2005-2011. We find enormous cross-individual variation, ranging from zero to more than 75%, and strong cohort effects, with younger cohorts...
Persistent link: https://www.econbiz.de/10013006580
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Asset Return Dynamics under Bad Environment-Good Environment Fundamentals
Bekaert, Geert - 2011
We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic non-Gaussian features of fundamentals while still permitting closed-form...
Persistent link: https://www.econbiz.de/10013134516
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Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
Bekaert, Geert - 2014
We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while...
Persistent link: https://www.econbiz.de/10013068408
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Emerging markets
Bekaert, Geert (ed.); Harvey, Campbell R. (contributor) - 2004
Persistent link: https://www.econbiz.de/10001921725
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Global Crises and Equity Market Contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2012
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...
Persistent link: https://www.econbiz.de/10014178116
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Global Crises and Equity Market Contagion
Bekaert, Geert - 2012
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...
Persistent link: https://www.econbiz.de/10013114659
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Global Crises and Equity Market Contagion
Bekaert, Geert - 2012
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings as indicative of contagion. We find systematic...
Persistent link: https://www.econbiz.de/10013109074
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2014
emerging markets have increased, the process of integration of these markets into world markets is incomplete. To some degree …, this accounts for the disparity between emerging equity market capitalization in investable world equity market benchmarks … versus emerging market economies in the world economy. Currently, emerging markets account for more than 30% of world GDP …
Persistent link: https://www.econbiz.de/10013051425
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The Global Crisis and Equity Market Contagion
Bekaert, Geert - 2014
We analyze the transmission of the financial crisis of 2007 to 2009 to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of...
Persistent link: https://www.econbiz.de/10013059842