Although the economic recovery seems off to a stronger start than anticipated earlier, there are considerable differences between the various regions. Emerging and developing economies are expected to benefit from strong internal demand while for most advanced economies the recovery is expected...

Considerable attention has been devoted in the financial literature to excessive portfolio concentrations in domestic risky assets relative to those predicted by standard finance models – generally identified as “home bias” – across international markets. The innovation we offer is...

Considerable attention has been devoted in the financial literature to excessive portfolio concentrations in domestic risky assets relative to those predicted by standard finance models – generally identified as “home bias” – across international markets. The innovation we offer is...

In contrast to many active equity investment managers, corporate bond investors often omit sector rotation as a decision layer in their investment process. In this paper, we address the merits of sophisticated sector-oriented investment decisions for Euro fixed income managers by analysing the...

This paper studies portfolio choice with popular foreign exchange (FX) investment styles such as carry trades, FX momentum and FX value strategies. We go beyond the benefits from hedging to shed more light on the speculative component of currency investments. In particular, we are interested in...

This paper explores the effect of feedback trading on expected returns and international portfolio allocation using stock market data for the US and Latin America. Autocorrelation in monthly returns are shown to vary with volatility as suggested by the Shiller-Sentana-Wadhwani feedback trading...

Existing research discards domestic equities as inflation hedge, yet, to the best of my knowledge, overlooks international equities. I show that international equities hedge against inflation level and inflation changes more effectively than domestic equities. The protection is stronger for...

We develop a two-country international asset pricing model in which some investors face leverage constraints. In contrast to models with a single `world' bond, we show that tightening regulation can lead to the risk free interest rate rising. When demand for borrowing is high, a tightening of...

We examine the F score in global emerging markets and show there is a meaningful premium attached to high F score stocks which is unrelated to the size, value and momentum premiums. It is larger for high value stocks, moderately higher for high momentum stocks and unrelated to stock size. This...

We provide evidence that speculative capital of hedge funds is a key determinant for the profitability of optimal carry and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from the perspective of a utility maximizing risk averse...