This paper provides evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, based on the cross-sectional average first order autocorrelation coefficient of hedge fund returns, and show that it has strong and...

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...

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...

Integrated capital markets facilitate risk sharing across countries. Lower home bias in financial investments is an indicator of risk sharing. We highlight that existing indicators of equity home bias in the literature suffer from incomplete coverage because they consider only listed equities....

We study the effect of collateralized lending and securitization on international capital flows and welfare in a two-country general equilibrium model with idiosyncratic investment risk. The low-margin country (Home) endogenously supplies more safe assets and enables more risk sharing. Upon...

How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...

We study the impact of global volatility on equity portfolio flows of institutional investors worldwide. We find that their equity allocations decrease in times of high volatility; retail investors are net buyers. The effect is present in developed and emerging markets, is economically stronger...

Investment funds hold a disproportionately larger fraction of domestic relative to foreign stocks. Stock market development and familiarity (language and distance) are considered key determinants for home bias. The literature neglects however that investors often invest in foreign funds...

We investigate the relationship between media negativity on foreign countries and flows to country-specific international mutual funds in the US. We find that the media negativity together with the media attention given to a foreign country is negatively correlated with the flows to...

We examine Turkish fund portfolios and identify the role of international investments in their formation. We find that (1) Turkish funds hold a very small fraction of international assets during 1987-2008, (2) the weight of international equity in the funds with an international mandate is...