While the enlargement of the Euro area to new countries has reduced the average return correlation among member countries, the financial crisis and the sovereign debt crisis have led to an increase in stock return correlation among old members. We find that EMU core countries portfolio...

Using monthly returns for over 37,000 stocks from 46 developed and emerging market countries over a two-decade period, we test whether empirical asset pricing models capture the size, value, and momentum patterns in international stock returns. We propose and test a multi-factor model that...

Academic and practitioner research has presented strong evidence in support of the addition of commodity futures contracts to a diversified stock portfolio to enhance the risk-return characteristics of the portfolio. Moreover, it is well documented that diversification among risky assets in a...

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs linked to the stock indexes of Germany, Spain,...

Purpose - This paper aims to expand foreign investors' understanding of potential return enhancement and risk diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and investigating what matters for investing in...

Using daily and monthly MSCI index returns of Association of Southeast Asian Nations (ASEAN) markets for the period 2007 and 2021, this study aims to examine if there are any advantages to diversification in ASEAN markets for Vietnamese investors and if those perks have altered between pre and...

Sovereign Wealth Funds (SWFs) have become active investors on the financial markets. This working paper meets the increasing thirst for information on the investment activities of Sovereign Wealth Funds, their legal environment and the implications on German stock listed corporations. Thus, this...

We introduce a novel empirical decomposition of equity price growth rates in terms of equity holdings, based on market-clearing conditions. Although our sample holdings cover only an average of 5% of market capitalization, our reconstructed equity holdings account for, on average, 89% of the...

It is frequently argued that foreign investors have extrapolative expectations due to their informational disadvantages. That is, absent other sources of information, foreigners revise their expectations on the future price of a domestic stock more in line with its current price change than do...

U.S. President Donald Trump tweets frequently to communicate his thoughts to the public. We quantitatively evaluate the impact of Trump's China-related tweets on the Chinese stock market. We find that following Trump's inauguration, his tweets with a positive sentiment significantly increase...