This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

We propose a simple structural model of exchange rate determination which draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow on exchange rates. We estimate this model employing...

This paper deals with the long-run stock performance after initial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolios and matching stocks).

This paper deals with the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse.

This paper investigates the relative performance of local and foreign financial analysts on Latin American emerging markets.

This paper investigates the relative performance of local and foreign financial analysts on Latin American emerging markets. There is strong evidence that foreign financial analysts outperform local analysts on these markets. Foreign analysts produce more timely and more accurate forecasts. A...

In view of recent corporate scandals, it is argued that corporate governance can learn from public governance. Institutions devised to control and discipline the behaviour of executives in the political sphere can give new insights into how to improve the governance of firms. Some proposal such...

This paper investigates the presence of Granger-causality amongst market indices in six Asian stock markets: Malaysia, India, China, Pakistan, the Philippine and Japan, from April 7th 1992 to July 23rd 2008. Using daily market returns I performed a Granger-causality test, based on the Vector...

A theoretical framework is presented to characterise the money demand in deregulated markets. The main departure from the perfect capital markets setting is that, instead of assuming that investors can lend and borrow any amount of capital at a single (and exogenously determined) interest rate,...

Previous research has established (i) that a country’s financial sector influence future economic growth and (ii) that stock market index returns affect future economic growth. We extend and tie together these two strands of the growth literature by analyzing the relationship between banking...