This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic ‘fundamentals’, (ii) return/volatility of asset markets and (iii)...

Using a sample that provides unprecedented detail on foreign listings, new listings, and delistings for 29 exchanges in 24 countries starting from the early 1980s, we document a growing tendency of listings to concentrate in the U.S. and the U.K., and large changes in all exchanges’ ability to...

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic 'fundamentals', (ii) return/volatility of asset markets and (iii)...

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new specification to study market timing. Instead of considering an average market exposure for mutual...

Using a sample that provides unprecedented detail on foreign listings, new listings, and delistings for 29 exchanges in 24 countries starting from the early 1980s, we document a growing tendency of listings to concentrate in the U.S. and the U.K., and large changes in all exchanges’ ability to...

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic 'fundamentals', (ii) return/volatility of asset markets and (iii)...

This study complements the scarce literature on conditional market timing in the mutual fund industry by assessing determinants of market timing throughout the distribution of market exposure. It builds on the intuition that the degree of responsiveness by fund managers to investigated factors...

Using a sample that provides unprecedented detail on foreign listings, new listings, and delistings for 29 exchanges in 24 countries starting from the early 1980s, we document a growing tendency of listings to concentrate in the U.S. and the U.K. and large changes in all exchanges’ ability to...

The paper investigates the effects of information asymmetry (between the realised return and the expected return) on market timing in the mutual fund industry. For the purpose, we use a panel of 1488 active open-end mutual funds for the period 2004-2013. We use fund-specific time-dynamic betas....