This paper uses within-month daily returns to measure realized correlation between global industry portfolios and the aggregate world market. Over the period from 1979 to 2003, there has been a noticeable increase in the correlation of high size industries relative to low size industries....

A key component of managing international interest rate portfolios is forecasts of the covariances between national interest rates and accompanying exchange rates. How should portfolio managers choose among the large number of covariance forecasting models available? We find that covariance...

We study the realized openness to portfolio flows of economically more- developed and less-developed countries as it affects future GDP growth. Outflows of a country's funds into U.S. securities are predictive of GDP growth. Both inflows and outflows of funds via local equity securities are...

Non-systematic volatilities of small firms are special as predictors of stock returns. They are positively related with future returns on all age and size portfolios. They dominate systematic volatility, big-firm volatility and other volatilities. And there is strong evidence that idiosyncratic...

This paper uses a volatility decomposition method to study the time series behavior of equity volatility at the world, country and local industry levels. Between 1974 and 2001 there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s, there is a sharp increase...

Time-varying covariance models are compared in the French and German interest rate markets of the pre-euro period. A bivariate, asymmetric dynamic covariance model with level effect best characterizes the in-sample variance-covariance dynamics. Model comparison using economic loss functions...

This paper compares the in-sample and out-of-sample forecasting performance of models of the spot interest rate volatility using French and Germany short-term interest rates, 1981-1997. For a one-week horizon, the volatility forecasts evaluation shows that the model with the best fit does not...

We investigate whether cross-listing in the U.S. affects the information environment for non-U.S. stocks. Our findings suggest cross-listing has an asymmetric impact on stock price informativeness around the world, as measured by firm-specific stock return variation. Cross-listing improves price...

The evidence here indicates that sovereign debt rating and credit outlook changes of one country have an asymmetric and economically significant effect on the stock market returns of other countries over 1989-2003. There is a negative reaction of 51 basis points (two-day return spread...

We study the relationship of corporate governance policy and idiosyncratic risk. Firms with fewer antitakeover provisions display higher levels of idiosyncratic risk, trading activity, private information flow, and information about future earnings in stock prices. Trading interest by...