Showing 1 - 10 of 2,378
This paper examines the performance of Institutions, Foreigners and Individuals in Emerging Markets. We find that Local institutions produce better outcomes than both foreigners and local individuals on all performance measures. Comparing local individuals with foreigners we find that local...
Persistent link: https://www.econbiz.de/10012998343
This paper constructs a global anomaly index based on the 153 long-short portfolio returns of 33 stock markets. We find that global anomaly index is a strong negative predictor of future aggregate stock returns in international markets both in- and out-of-sample. It captures the common change in...
Persistent link: https://www.econbiz.de/10014254257
We investigate the role of Foreigners, local Institutions and local individuals in days of Contagion in a set of seven emerging markets from 2007 to 2016. We propose and use a simple measure of the degree of Contagion based on the probability of a coincidence of daily negative returns in both...
Persistent link: https://www.econbiz.de/10014121655
We investigate the role of Foreigners, local Institutions and local individuals in days of Contagion in a set of seven emerging markets from 2007 to 2016. We propose and use a simple measure of the degree of Contagion based on the probability of a coincidence of daily negative returns in both...
Persistent link: https://www.econbiz.de/10014123606
Persistent link: https://www.econbiz.de/10003947428
Persistent link: https://www.econbiz.de/10012421107
We show that internationally diversified portfolios carry sizeable political risk premia. We use a tail-risk portfolio selection model to obtain political efficient frontiers from skewed return distributions and manage political risk, and design an inference test to draw conclusions. We find...
Persistent link: https://www.econbiz.de/10013218378
Unlike prior studies on foreign exchange risk that have focused on multinational companies, this paper documents that domestic companies face significant foreign exchange exposure. Indeed, we document that on average domestic company foreign exchange exposure is not significantly different from...
Persistent link: https://www.econbiz.de/10013134867
This paper reproduces the slope of the uncovered interest rate parity (UIP) regression for ten country pairs within one standard deviation under rational expectations. We propose an infinite horizon dynamic stochastic general equilibrium model with incomplete markets. Heterogenous investors...
Persistent link: https://www.econbiz.de/10013093688
Non-financial corporations are institutional units whose main function is producing commercial goods or non-financial services. A quasi-corporation is also considered a non-financial corporation. Although quasi-corporations have not yet completed the legal requirements to become corporations,...
Persistent link: https://www.econbiz.de/10013075774