Novy-Marx (2010) finds that momentum is primarily driven by stock performance twelve to seven months prior to portfolio formation in the US market. We examine whether this finding holds in international stock markets. In particular, we investigate whether intermediate horizon past performance is...

The decomposition of a European market return into cashflow and discount rate news components suggests that returns on European and country value portfolios react more sensitive to news about the European market return´s cashflows than the corresponding growth portfolios. This evidence is...

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

The main objective of this paper is to investigate the international linkages among local, country-specific stock market factors in order to better understand the dependence structure of increasingly integrated world financial markets. The seeming discordance between Fama and French (1998) and...

This study examines the tracking performance of U.S.-traded International Leveraged Exchanged-traded Funds (ILETFs) that track the following markets: Brazil, China, Europe, Japan, and Mexico. We find that the beta and returns of these ILETFs can deviate dramatically from their naïve expected...

We study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock and foreign exchange markets' returns and volatility over the period 1998 to 2006 using a GARCH model. Firstly, we show that both types of news have a significant impact on all markets....

This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...

This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...

The paper employs an event study methodology to investigate the macroeconomic announcements effects on S&P500 and oil prices. Our results provide evidence of a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect...