The paper extends the Black-Litterman model from elliptical distributions to the extended skew-normal and extended skew-student-t distributions. In addition to fat-tails, a non-Gaussian distributional feature already captured by the elliptical family, the extended model analytically incorporates...

Using NCRIEF farmland and timberland smoothed indices over the period from 1992Q1 to 2012Q3 and a new de-smoothing approach offered by Fisher et al. (1994), we explore the mean-variance diversification features of farmland and timberland assets. Our empirical results show that diversification...

Over 70 academic papers attempt to explain why foreigners invest in US securities. All ignore the vital role of the US broker-dealer. Macroeconomic factors like a trade balance or corporate governance may guide foreign investors toward certain markets. But US broker-dealers provide information...

Anecdotal evidence suggests that investor protection affects the demand for equity, but existing theories emphasize only the effect of investor protection on the supply of equity. We build a model showing that the demand for equity is important in explaining financial development. If the level...

In this article, LEGO sets are studied as a potential alternative asset class. An exhaustive sample of 10,588 sets is utilised to generate inferences regarding long-term LEGO performance, its diversification benefits, and return determinants. Over 1966-2018, LEGO value-weighted index accounted...

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...

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...

This study affirms the negative relationship between corruption and real estate investment flows using a comprehensive set of cross-border commercial real estate investment data from 2001 to 2014. We find non-information explanations for foreign investments in corrupt countries. Foreign...