The failure to empirically prove uncovered interest rate parity conditions seems to be related to the presence of risk premia on foreign currencies. Recent studies suggest that either consumption- or currency-return-based pricing factors explain the cross section of foreign currency portfolio...

This paper provides a baseline model for regulatory analysis of systemic liquidity shocks. We show that banks may have an incentive to invest excessively in illiquid long-term projects. In the prevailing mixed-strategy equilibrium, the allocation is inferior from the investor's point of view...

This paper introduces a two-component volatility model based on first moments of both components to describe the dynamics of speculative return volatility. The two components capture the volatile and the persistent part of volatility, respectively. The model is applied to 10 Asia-Pacific stock...

This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy surprises in the United States, whereas monetary policy...

This paper investigates the out-of-sample predictability of monthly market as well as size, value, and momentum premiums. We use a sample from each of the US and the Swiss stock markets between 1989 and 2007. Using the Swiss sample provides an important new perspective as the repeated evaluation...

In this paper, we apply the method for removing the upward bias in returns in equally-weighted return indexes developed by Fisher, Weaver, and Webb (2010) to REIT stocks in the US. While we find significant bias in this index, two trends are evident: first, there is less overall bias than in...

This paper analyzes whether the reputation of depositary banks that sponsor U.S. cross-listed firms has an impact on: (1) the number of new issuers every year, (2) the stock price reaction around the listing date (3) the percentage of institutional ownership, and (4) the activity of raising...

Brazil faced an IPO wave in the last four years, and many Private Equity deals went public. The aim of this paper is to investigate whether private equity backed IPOs performed better in the long run than non-private equity backed firms. We examined the one year cumulative abnormal returns of 53...

The paper examines the effects of exogenous changes in the performance fees paid from terminal investors such as households to intermediaries managing their assets, on endogenous variables such as the risky asset volatility and risk premium, in the context of a dynamic equilibrium asset pricing...

Value stocks covary with aggregate consumption more than growth stocks during periods when financial wealth is low relative to consumption. However, the conditional value premium does not exhibit such countercyclical behavior. Consequently, a one-factor conditional consumption-based asset...