This study uses survey data of fund managers' views on prospects for international equity markets to shed light on why investment portfolios are significantly biased towards domestic equities. We find that fund managers from the United States, the United Kingdom, continental Europe, and Japan...

The autoregressive conditional heteroscedasticity/generalized autoregressive conditional heteroscedasticity (ARCH/GARCH) literature and studies of implied volatility clearly show that volatility changes over time. This article investigates the improvement in the pricing of Financial...

The study tests Longstaff's martingale restriction on S&P 500 index options over the period 1990–1994. Assuming the S&P index follows a lognormal distribution results in systematic violations of the martingale restriction, the implied index value from options consistently overestimating the...

In this paper, we address the introduction of new markets in the context of a noisy rational expectations model of the type of Hellwig (1990), by assuming that knowledge about final payoffs emerges gradually over time and then considering the effect of allowing investors to trade more...

This paper develops a model of international equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic...

Hellwig's (1980) model isused to analyze the value of improvingtrading opportunities by more frequent trading in the underlying asset, or by trading in a derivative asset. With multiple trading sessions, uninformed investors behave as rational trend followers, while more informed investors...

This paper develops a model of International equity portfolio investment flows based on differences in informational endowments between foreign and domestic investors. It is shown that when domestic investors possess a cumulative information advantage over foreign investors about their domestic...