It is widely known that the common risk-factors derived from PCA beyond the first eigenportfolio are generally difficult to interpret and thus to use in practical portfolio management. We explore a alternative approach (HPCA) which makes strong use of the partition of the market into sectors. We...

Home Bias refers to the tendency to invest more heavily in one's domestic equity market than global market-value proportions would suggest. Whether or not home-biased investing makes sense, the fact is that people in pretty much every country do it. This article addresses the question of whether...

This paper studies inference in models of discrete choice with social interactions when the data consists of a single large network. We provide theoretical justification for the use of spatial and network HAC variance estimators in applied work, the latter constructed by using network path...

Language and cultural diversity is a fundamental aspect of the present world. We study three modern multilingual societies -the Basque Country, Ireland and Wales- which are endowed with two, linguistically distant, official languages: A, spoken by all individuals, and B, spoken by a bilingual...

Weak contract enforcement may reduce the efficiency of production in developing countries. I study how contract enforcement affects efficiency in procurement auctions for the largest power projects in India. I gather data on bidding and ex post contract renegotiation and find that the...

This paper exploits a large-size auction experiment conducted by two Chinese Government Treasury security issuers---the Chinese Development Bank and the Export-Import Bank---to investigate whether Treasury securities should be sold through uniform or discriminatory auction mechanisms. Based on...

We propose an empirical framework for a Cournot-oligopoly model where firms have private information about their own marginal costs. Considering a linear demand with random intercept, we characterize the Bayesian Cournot-Nash equilibrium and determine testable implications from the joint...

For US investors, international equity exposure has never been so readily available at such a low cost. Nonetheless, surveys indicate US investors typically allocate 80–85% of their equity holdings to US equities, much higher than their proportion of global market value. In this note we...

We study identification and inference in first-price auctions with risk averse bidders and selective entry, building on a flexible entry and bidding framework we call the Affiliated Signal with Risk Aversion (AS-RA) model. Assuming that the econometrician observes either exogenous variation in...

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...