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Maximizing Predictability in the Stock and Bond Markets

Lo, Andrew W. - 1995

We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...

Persistent link: https://www.econbiz.de/10012473866

The International Diversification Puzzle is Worse Than You Think

Baxter, Marianne - 1995

Although international financial markets are highly integrated across the more well-developed countries, investors nevertheless hold portfolios that consist nearly exclusively of domestic assets. This violation of the predictions of standard theories of portfolio choice is known as the...

Persistent link: https://www.econbiz.de/10012473874

Noise Trading, Delegated Portfolio Management, and Economic Welfare

Dow, James - 1994

hedging reasons, some investors optimally contract with portfolio managers who may have stock-picking abilities, and portfolio … managers trade optimally given the incentives provided by this contract. Managers try, but sometimes fail, to discover … nothing,' in this sense, from 'simply doing nothing.' Because of this problem: (i) some portfolio managers trade even though …

Persistent link: https://www.econbiz.de/10012474053

An Asset Allocation Puzzle

Canner, Niko - 1994

This paper examines popular advice on portfolio allocation among cash, bonds, and stocks. It documents that this advice is inconsistent with the mutual-fund separation theorem, which states that all investors should hold the same composition of risky assets. In contrast to the theorem, popular...

Persistent link: https://www.econbiz.de/10012474054

Capital Flight, External Debt and Domestic Policies

Dooley, Michael P. - 1994

It is now well documented that capital flight has been a dominant feature of capital movements between developing and industrial countries. Since 1988 reductions in the stock of flight capital more than account for private capital flows to emerging markets. This suggests that what appears to be...

Persistent link: https://www.econbiz.de/10012474127

Portfolio Inefficiency and the Cross-Section of Expected Returns

Kandel, Shmuel - 1994

A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...

Persistent link: https://www.econbiz.de/10012474226

International Portfolio Choice and Asset Pricing : An Integrative Survey

Stulz, Rene M. - 1994

In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their...

Persistent link: https://www.econbiz.de/10012474291

Conditional Asset Allocation in Emerging Markets

Harvey, Campbell R. - 1994

Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low...

Persistent link: https://www.econbiz.de/10012474311

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 1994

This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world...

Persistent link: https://www.econbiz.de/10012474312

Partial- Vs. General-Equilibrium Models of the International Capital Market

Dumas, Bernard - 1993

In this essay, I discuss and compare two ways of modeling international capital market equilibrium: the orthodox, general-equilibrium approach and the heterodox, partial-equilibrium CAPM (Capital Asset Pricing Model) approach. The benchmark for this comparison is the model's ability to provide...

Persistent link: https://www.econbiz.de/10012474500