We propose a theoretical framework for constructing a market proxy that corresponds to the ldquo;market portfoliordquo; of financial theory. We construct this proxy, analyze its determinants and test its efficiency and explanatory power over the period 1974-2003 with respect to the return...

In this paper we generalize the Clark-Jokung 50% portfolio theorem(Management Science, 1999) to an arbitrary threshold and we apply it to a wide and well-known family of distributions, the elliptical distributions (multivariate normal, Student t, multivariate exponential,...). We consider the...

The weak empirical evidence linking diversification and international equity flows calls into question the diversification paradigm at the international level and the analytical framework it implies. Using a novel measure of diversification that includes all the moments of the distribution of...

This paper analyzes the Mexican peso crisis of 1994 in terms of false government signals and the agency conflict that pits national governments against international lenders when national governments have the power to use moratoriums, repudiation, or default to subordinate the claims of...

We investigate the risk-taking behaviour of Bank Holding Companies (BHCs) that are subject to the Dodd–Frank Act (DFA). Specifically, we employ a difference-in-differences method to assess the effectiveness of the DFA in reducing the riskiness of complex banks and their contribution to...

In this paper we look at the Indian financial crisis of 1990-1992 that included three credit rating downgrades of two notches each in the short space of 9 months. We measure to what extent India's financial difficulties were the result of conditions prevailing on the international capital...

In the United Kingdom Financial Reporting Standard (FRS) 13 requires narrative and numerical disclosure of all financial instruments held or issued, in order to provide information about their impact on the entity's risk profile. FRS 13 came into force for March 1999 year-ends. Under FRS 13...

In this paper we use the Clark (1991) methodology to estimate the macroeconomic financial risk premium from 1985 to 1997 for Argentina, Brazil, Chile, Colombia, Mexico and Venezuela, the 6 Latin American countries with the largest stock markets, and test whether and to what extent it affects...