The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique...

At the turn of the century, the role of culture in society is changing. One facet of this change is the relation between culture and finance. Globalisation has led to an increasing competition between financial centres worldwide and culture has become one determinant of competitiveness. But,...

Using bank-specific data on U.S. bank claims on individual foreign countries since the mid-1980s, this paper 1) characterizes the size and portfolio diversification patterns of the U.S. banks engaging in foreign lending, and 2) econometrically explores the determinants of fluctuations in U.S....

This paper investigates the sources of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7, decomposing exposure into cash flow and discount rate effects. Initial examination of the degree of exposure on industry returns produces results consistent with...

This paper investigates the impact of exchange rate fluctuations on the value of nonfinancial firms in Chile. Using a detailed dataset on firms' foreign activities, the potential determinants of the identified exposure are examined. Foreign exchange exposure depends on the levels of foreign...