Using daily and monthly MSCI index returns of Association of Southeast Asian Nations (ASEAN) markets for the period 2007 and 2021, this study aims to examine if there are any advantages to diversification in ASEAN markets for Vietnamese investors and if those perks have altered between pre and...

In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds...

We propose that investor beliefs frequently “cross” in the sense that an investor may like company A, but dislike company B, while another investor may like company B, but dislike company A. Belief-crossing makes it almost impossible to construct a portfolio that is comprised solely of every...

We study the relative diversification potential of American Depository Receipts (ADRs) as compared to the underlying shares as well as the relative diversification potential of closed-end country funds as compared to the foreign market indexes across various economic conditions. We find that,...