The extant literature demonstrates the importance of stock return predictability for portfolio allocation. The usefulness of incorporating return predictability into portfolio decisions is most evident for Bayesian investors who build their portfolios based on their prior beliefs. I show that...

We conduct an analysis of the impact of foreign portfolio flows on the volatility of emerging markets, using a unique dataset consisting of aggregate daily trading by foreign investors in the Thai stock market between 1995 and 2002. We find that the effect of foreign flows on the volatility of...