We show that corporate use of long-term debt has decreased in the US over the past three decades and that this trend is heterogeneous across firms. The median percentage of debt maturing in more than 3 years decreased from 53% in 1976 to 6% in 2008 for the smallest firms but did not decrease for...

We propose forecasting separately the three components of stock market returns: the dividend-price ratio, earnings growth, and price-earnings ratio growth --- the sum-of-the-parts (SOP) method. Our method exploits the different time-series persistence of the components and obtains out-of-sample...

We develop and test the hypothesis that private information incorporated into stock prices (price informativeness) affects the structure of corporate boards. We find a negative relation between measures of price informativeness and measures of board independence. This finding is robust to the...

Time-varying covariance models are compared in the French and German interest rate markets of the pre-euro period. A bivariate, asymmetric dynamic covariance model with level effect best characterizes the in-sample variance-covariance dynamics. Model comparison using economic loss functions...

This paper uses within-month daily returns to measure realized correlation between global industry portfolios and the aggregate world market. Over the period from 1979 to 2003, there has been a noticeable increase in the correlation of high size industries relative to low size industries....

We study the realized openness to portfolio flows of economically more- developed and less-developed countries as it affects future GDP growth. Outflows of a country's funds into U.S. securities are predictive of GDP growth. Both inflows and outflows of funds via local equity securities are...

Time-varying covariance models are compared in the French and German interest rate markets of the pre-euro period. A bivariate, asymmetric dynamic covariance model with level effect best characterizes the in-sample variance-covariance dynamics. Model comparison using economic loss functions...

This paper studies the determinants of the domestic and the foreign bond biases and their evolution over time using aggregate bond allocation data from CPIS. Our results show that the home bias is prevalent across all countries, despite the decreasing of the domestic bias in most countries in...

We compare the performance of local versus foreign institutional investors using a comprehensive data set of equity holdings in 32 countries during the 2000-2010 period. We find that foreign institutions perform as well as local institutions on average, but only domestic institutions show a...