To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading indicator as a new factor. I use an affine term structure...

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...

For decades the U.S. foreign portfolio share remained relatively constant; yet from 1994 to 2010, the share of equity wealth U.S. investors allocated to foreign markets nearly doubled. Using a sample of monthly bilateral equity holding between investors in the United States and 46 countries, I...

This paper studies the pricing impact of aggregate shifts in the U.S. demand for foreign stocks on the cross-section of U.S. stocks. Measuring the sensitivity of U.S. firm-level returns to innovations in international stock flows, I document that stocks with higher sensitivity to U.S. investor's...

Limited stock market participation can potentially explain the disconnect between international asset prices and macro quantities. An incomplete markets model in which risk sharing for stockholders is high, generates highly correlated equity returns and relatively smooth exchange rates. Risk...

The corporate basis measures the pricing difference between dollar and foreign currency bonds issued by the same corporate entity. In this paper, we decompose the basis into a risky asset yield spread, a safe asset convenience yield, and FX hedging costs with the covered interest rate parity...

This paper examines the relative performance of small-caps vs. large caps surrounding periods of peaks and troughs of economic activity, and reexamines the relationship between the small firm anomaly and the business cycle. Small-cap firms outperform large caps over the year subsequent to an...