This paper examines whether there exists any relationship between individual Asian firms' stock returns and fluctuations in foreign exchange rates. We find that about 25 percent of these firms experienced economically significant exposure effects to the U.S. dollar and 22.5 percent to the...

While in previous literature foreign currency exposure is estimated to be surprisingly small and insignificant, we question in this paper the rationality assumption and show that the traditional use of realized exchange rate changes to approximate unexpected currency shocks leads to a strong...

We find that periods of elevated EPU are associated with higher analyst disagreement, a decrease in forecast accuracy, and a higher degree of conservatism. We show that the decrease in forecast accuracy can be partially attributed to limited attention. A higher level of EPU attracts analysts’...

In this paper we study financial integration in Europe by looking at the time-varying relative importance of country versus industry factors in the European corporate bond market. Using a unique dataset that is representative for the universe of actively quoted corporate bonds, we find that...

This paper investigates whether investor sentiment can explain stock return comovements. Our findings demonstrate that since the 1960s, there has been a clear and rapid increase in correlations between international equity markets. Decomposing the equity returns into fundamental and...

This paper studies the impact of expected issuance fees on market liquidity in the Euro-area government bond market. Investment banks have a dual role as primary dealer in the secondary market as well as competitor for lead manager in the primary market. Primary dealers have the incentive to...

We study the effect of economic policy uncertainty (EPU) on sell-side analysts' forecasts, and how it interact with the stock-market response to a firm's earnings news. We find that analysts tend to disagree more when faced with higher levels of EPU, and that their forecasts tend to be less...

We show how economic agents' limited attention can account for the time-varying link between exchange rates and economic fundamentals. We demonstrate that the higher is the attention for a certain fundamental, the higher is its predictive power in forecasting future currency movements. We proxy...