This paper re-examines the extent to which gains to international diversification are due to differences in industrial structure across countries. Recent papers by Roll (1992) and Heston and Rouwenhorst (1994) investigate this issue and find conflicting evidence. Using a new database, the Dow...

This paper presents an asymmetric information model of share repurchases when shareholders have heterogeneous reservation values. Consistent with empirical evidence, managers in the model repurchase shares at a premium above the post- repurchase share value - transferring wealth from...

This study explores empirically the fundamental factors that influence intraday and overnight cross-country stock return covariances. Using transactions data from the Institute for the Study of Securities Markets (ISSM) from 1988 to 1992, we construct overnight and intraday returns for a...

Equilibrium analysis is a valuable tool in real estate investment research. In this survey, I show how equilibrium models have been used to estimate the required risk premium for different classes of real estate, to explain housing prices and rents, and to determine investment rental market...

The Council of Institutional Investors is a group of public and private pension funds which collectively own over $800 billion in financial assets within the United States. The Council has provided a forum for these funds to coordinate and communicate with each other on a variety of matters...

We develop a dynamic model of the adoption of financial innovations. Each period, firms decide whether or not to adopt an innovation of uncertain value, and the profitability of each period's adoptions reveals information about the innovation's value. We show that characteristics of financial...

This paper presents evidence that the enactment of insurance guaranty fund statutes induced managers of covered insurers to take actions that shifted risk to the guarantor. The mechanism for risk- shifting was a decrease in reserves. The strongest evidence appears for Commercial Multi-Peril...

This study explores empirically the fundamental factors that affect cross-country stock return correlations. Using transactions data from 1988 to 1992, we construct overnight and intraday returns for a portfolio of Japanese stocks using their NYSE-traded American Depository Receipts (ADRs) and a...

The cyclical variation in office construction, vacancies, rents and values over the last decade has been enormous throughout the world. Numerous hypotheses have been advanced for this enormity, including prolifigate lenders, egomaniacal developers, and even rational behavior in the face of...