We use mean-variance analysis with short selling constraints to diagnose the effects of the recent global financial crisis by evaluating the potential benefits of international diversification in the search for 'safe havens'. We use stock index data for a sample of developed, advanced-emerging...

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that...

This paper examines the value relevance of accounting fundamentals in the Mexican Stock Market ([BMV] – Bolsa Mexicana de Valores). The research question that motivated the paper was: Can accounting fundamentals provide relevant information to better understand firm value? More specifically,...

In this study, we construct financial networks in which nodes are represented by assets and where edges are based on long-run correlations. We construct four networks (complete graph, a minimum spanning tree, a planar maximally filtered graph, and a threshold significance graph) and use three...

In this study, we identify the optimal hedge ratio for mandatory pension funds, defining the optimum as the value that minimizes the portfolio variance in accordance with the social objective of the mandatory pension system. Unlike most previous studies, we apply a dynamic framework to account...

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...