We examine how emerging market (EM) investors allocate their stock portfolios internationally. Using both country-level and institution-level data, we find that the coming wave of EM investors systematically over- and under-weight their holdings in some target countries. These abnormal foreign...

Under the context of the US and EMU financial and debt crisis we investigate the portfolio asset diversification and assess risk for a core pool of advanced (US/Eurozone/UK/Japan) markets enriched by emerging financial markets represented by BRIC (Brazil, Russia, India, China). Specifically we...

We examine how emerging market (EM) investors allocate their stock portfolios internationally. Using both country-level and institution-level data, we find that the coming wave of EM investors systematically over- or under-weight their holdings in some target countries. These abnormal foreign...

The presence of foreign banks in emerging markets has increased markedly over the last two decades, raising questions about their potentially stabilizing or destabilizing role during times of financial distress. Most studies on this subject have focused on banks' asset side (i.e., their lending...

This paper examines cross-country heterogeneity and time-variability in the effects of unconventional monetary policies (UMPs) in advanced economies (AEs) on portfolio inflows to emerging economies (EMEs), with a panel smooth transition regression model. The drivers of the two dimensional...

High book-to-market stocks earn higher average returns than low book-to-market stocks. This result has been verified using stock returns from the U.S., developed, and emerging markets. Why B/M explains expected returns is still an open question. In this paper, we use stock returns representing...

This paper investigates the size, value and momentum effects in 18 emerging stock markets during the period 1990-2013. We find that size and momentum strategies generally fail to generate superior returns in emerging markets. The value effect exists in all markets except Brazil, and it is robust...

This paper tests for contagion in emerging debt markets following Russia and Argentina's government defaults. Using techniques that have been previously suggested for contagion tests in stock markets we find that debt and stock markets respond differently to financial crises. Volatilities and...

Emerging market corporations have significantly increased their borrowing in international markets after the global financial crisis. We show that this expansion was led by large-denomination bond issuances (bonds with face values exceeding US$300 million, and often exceeding US$500 million)....

We examine how emerging market (EM) investors allocate their stock portfolios internationally. Using both country-level and institution-level data, we find that the coming wave of EM investors systematically over- and under-weight their holdings in some target countries. These abnormal foreign...