This paper investigates the effect of short-sale constraints on price efficiency. We use a unique global dataset on equity lending, collected from several custodians, from January 2004 to June 2006. This information is available weekly for 17,015 stocks from 26 countries. Our main findings are...

This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group). We propose a robust regression technique to calculate the betas of...

This paper presents new data, in the form of four indices, on liberalization policies and the independence of regulators for a cross-section of countries. These indices are combined with a comprehensive set of performance, institutional and political data to analyze both the determinants and the...

This paper presents new data on telecommunications reform for a cross section of countries. We measure telecommunications reform along two dimensions: entry barriers and regulatory independence. This data set is combined with a comprehensive set of performance, institutional and political data...

We contribute to the question of why some countries are more attractive for foreign direct investment (FDI) than others by constructing a composite measure that describes a host country's attractiveness for receiving FDI. This index considers all identified major, measurable and, for our scope,...

Studies of competitiveness tend to focus on a local economy's global interactions, particularly its international trade. But for countries that are at least mid-sized (such as Spain), interregional trade tends to be as large as or significantly larger than international trade. The case of...

A model is presented of a uniform price auction where bidders compete in demand schedules; the model allows for common and private values in the absence of exogenous noise. It is shown how private information yields more market power than the levels seen with full information. Results obtained...

This paper looks at the determinants of country and industry specific factors in international portfolio returns using a sample of thirty-six countries and thirty-nine industries over the last three decades. Country factors have remained relatively stable over the sample period, while industry...

In this paper we test the profitability of momentum strategies in the United Kingdom, Germany, Japan and China over the period 1991 to 2006 and sub-periods. Both RSS (Relative Strength Strategies) and WRSS (Weighted Relative Strength Strategies) are used to form the momentum portfolios. We find...

This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density...