We show how a stock return model can be described by measures of distance between stocks along the country, industry, and ownership dimensions. This ownership return dimension is shown to be a continuous summary measure of institutional investor habitat. Empirically, we find that the ownership...

Investment in bond mutual funds has grown rapidly in recent years. With it, there is a growing concern that they are a new source of potential fragility. While there is a vast literature on flows in equity mutual funds, relatively little research has been done on bond mutual funds. In this...

We document strong weekly lead-lag return predictability across stocks from different industries with no customer-supplier linkages (economically unrelated stocks). Between 1980 and 2010, the industry-neutral long-short hedge portfolio earns an average of over 19 basis points per week. This...

Using firm-level data from 44 countries, we investigate the relation between corruption and international corporate values. Our analysis shows that firms from more corrupt countries trade at significantly lower market multiples. The effect is both economically and statistically significant....

Private investors from emerging market economies are increasingly putting their funds in overseas assets. Understanding the volumes and patterns of the various outflows — sovereign and private — and analyzing what influences them will help shed light on how the landscape of international...

This paper derives a dynamic version of Adler and Dumas' (1983) international CAPM when expected returns are time-varying. In addition to the international CAPM factors, intertemporal hedging of future stock returns and future real exchange-rate changes are also priced factors. The model nests...

We investigate the role of quot;country riskquot; in determining the default risk of firms in emerging markets. In particular, we study the relationship between the secondary market spreads (over hard-currency government bond yields) of bonds issued by emerging market firms and bonds issued by...