We define “safe haven currencies” as those able to yield positive excess returns during crises and show that they are likely to have negative risk premia on the long-run. We try to identify them empirically by considering a sample of 26 currencies from advanced and emerging countries over a...

The aim of this article is to study the dynamics of financial integration and of the risk premia in emerging markets. Accordingly, we estimate a variant of the International Asset Pricing Model (IAPM) developed by Errunza and Losq (1985) and Carrieri et al. (2007), allowing for time-varying...

The primary functions of a financial system are to supply clearing and settlement of payments, to ensure resource pooling and to transfer those economic resources through time and space, as well as to provide price information on assets by correctly assessing and managing risks. A financial...

Usual definitions of Sovereign Wealth Funds (SWFs) put emphasis on their foreign investments. But after September 2008, some Sovereign Wealth Funds refrained from foreign investments and turned to the support of their home economies. We show that these interventions of Sovereign Wealth Funds as...

This paper analyzes the influence of successive crises, including the recent European sovereign debt crisis, on banks’ equity returns for 11 countries. Our data span the period December 14th 2007-March 8th 2013 that encompasses different episodes of economic and financial turmoil since the...

This study assesses the reaction of stock markets, when Sovereign Wealth Funds (SWFs) announce that they have taken a stake in a listed company. It adds useful empirical results to the debate on the effect of SWFs on financial markets, which remains so far largely reliant on guess work. We...

Usual definitions of Sovereign Wealth Funds (SWFs) put emphasis on their foreign investments. But after September 2008, some Sovereign Wealth Funds refrained from foreign investments and intervened to support their home economies during the crisis. We show that the interventions of Sovereign...