Aggregate issuance of international bonds is found to be significantly higher in strong currencies than in weak ones. The mix of currencies is also found to be influenced by interest rate differentials, with greater issuance in higher-yielding currencies, and by the amount of home country...

The last financial crisis sheds dramatically light on the instability threatened by systemic risk. In this regard no common view appears to exist on the definition, the measurement and real impact on financial system. This paper aims to analyze the relation between systemic risk and portfolio...

Institutional investors will often consider international real estate investment as a response to a limited opportunity set at home. Each investable real estate market has different characteristics that require analysis and validation. Some markets have better conditions and prospects than...

The purpose of this paper is to analyze some leximetric data for a number of developed and less developed countries hitherto unavailable to examine (i) the changing state of shareholder protection and (ii) its connection with stock market development and capital accumulation. It finds a strong...

We propose a new class of investable momentum and contrarian stock-market indices that partition a benchmark index, such as the Russell 1000. Our momentum indices overweight stocks that have recently outperformed, while our contrarian indices underweight these same stocks. Our index construction...

Banks and other lenders often transfer credit risk to liberate capital for further loan intermediation. This paper aims to explore the design, prevalence and effectiveness of credit risk transfer (CRT). The focus is on the costs and benefits for the efficiency and stability of the financial...

This study analyses and decomposes hedge fund returns in order to determine a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform equity and bond indices over a full market cycle and over bull and bear market conditions. The methodology...

We study changes in deposit and cash holdings by households following the 2013 banking crisis in Cyprus. During this crisis the two largest banks in the country were resolved involving a bail-in of uninsured depositors and debt holders. Our analysis is based on anonymized survey data covering...

This paper studies the impact of investor composition on the sovereign debt market. We construct an aggregate data set of sovereign debt holdings by foreign and domestic bank, non-bank private, and official investors for 95 countries over twenty years. We find that private non-bank investors...