The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

In the wake of market volatility, many investors may feel a desire to change their approach and be more "nimble" or "opportunistic" in their pursuit of investment goals. In this paper, Robert Maynard, Chief Investment Officer for the Public Employee Retirement System of Idaho and Brandes...

The source of investment performance is estimation error.Estimation error leads investors to believe securities are mispriced when they are not. They respond by undiversifying to increase their portfolios' estimated expected return. Since they are responding to estimation error, their actual...

We examine the relation between intra-day price discovery and proxies for financial openness and investor accessibility using a sample of intra-day price and quote data of 1,504 stocks from 23 emerging markets. We measure price discovery by weighted price contribution across segments of the...

We study momentum and contrarian trading of foreign and local institutions as well as local individuals using a unique ownership dataset from the Australian stock market. We find that foreign institutions are momentum investors, whereas local investors are contrarians. However, momentum trading...

Changes in net positions of foreign and local investors in the forward market may have differential effects on the spot exchange rate. This paper assesses the role of different sectors in the derivatives market and their potential impact with other fundamentals on the spot exchange rate in...

Initial coin offerings (ICOs), or token offerings, play a critical role in the digital economy as they are blockchain-based smart contracts used to raise funds by issuing cryptocurrency tokens (Momtaz, 2020). This research aims to study the factors affecting the acceptance of ICOs for investment...