Standard neoclassical theory predicts that capital should flow from rich to poor countries. However, Lucas (1990) points out that these capital flows are actually very modest, and nowhere near the levels predicted by theory. The People's Republic of China (PRC) now receives more foreign capital...

We extend the EKOP model and estimate the probability of informed trading of institutions (SPIN) and individuals (DPIN) respectively. Using a unique dataset of Chinese stock market, we confirm that institutions are better informed by documenting a significantly higher SPIN.

We investigate whether size and book-to-market values of equity are proxying for macroeconomic risks found in Chen, Roll, and Ross's multifactor model or are measures of stocks' risk exposure to relative distress. We find that the role of size subsumes stocks' risk exposures associated with the...

This paper employs recently developed multivariate methods to study the predictability of international stock market returns. The authors find evidence of significant common predictable components within the Pacific, the European, and the North American stock markets using region-specific...

This paper tests the uncorrelatedness of increments of daily foreign currency futures prices and derives implications for risk premia based on a heteroscedasticity-robust variance ratio test. There is evidence suggesting the existence of a time-varying risk premia. Moreover, the results suggest...