Distinguishing two components of the preference for geographical proximity – the domestic country bias assessing investors' holdings within the domestic market, and the foreign country bias assessing investors' bilateral holdings within a particular host, I document a number of stylized facts...

Previous literature finds that anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion has a nonlinear impact on anomalies. This...

New indices for developed and emerging markets are analyzed for stocks, bonds and bills over the past 300 years. Indices for commodity markets covering 1000 years and indices for real estate covering over 100 years are also provided. Bull and bear markets for fixed income are studied going back...

This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...

This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...