Firm size is an essential factor in examining the relation between returns and idiosyncratic volatilities. This paper documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is statistically significant in explaining the future...

We investigate several asset pricing models in an international setting. We use data on a large number of assets traded in the United States, Japan, the United Kingdom, and France. The models together with the hypothesis of capital market integration imply testable restrictions on multivariate...

Historically, elections in emerging markets are perceived as chaotic and volatile for investment performance. In this paper we explore the performance and volatility of equity and foreign exchange markets in emerging economies during election cycles. We evaluated returns and volatility four...

This paper examines how Asian financial linkages with systemic economies have changed over time. After developing a factor model, it estimates Asian financial sensitivities to systemic economies, and then seeks to uncover their key determinants, which include trade and financial linkages, as...

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...

Pricing the real estate property and pre-determining increasing and decreasing movements in prices by establishing the real estate price index in the country have an important place in order to provide price stability in national economies and predict formation of financial crisis. In this...

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...

This publication covers seed and early stage financing for high growth companies in OECD and non-OECD countries with a primary focus on angel investment. Angel investment is the primary source of outside equity financing for start-ups in a number of countries, yet it is frequently overlooked as...

Drawing on data from the Eurosystem's recent Securities Holdings Statistics (SHS) and the IMF's Coordinated Portfolio Investment Survey (CPIS), the paper provides a detailed breakdown of foreign holders of Italian government securities by sector and geographical area. We estimate that euro-area...

This paper examines whether a country's corporate transparency environment, which includes the quality of accounting information, contributes to efficient resource allocation. Based on a cross-country study of 37 manufacturing industries in 37 countries, we provide three pieces of related...