This paper introduces a new approach to pricing sovereign risk based on sovereign credit default swap (CDS) spreads. We estimate a dynamic market-based measure of sovereign risk and use it to decompose sovereign CDS spreads into expected losses from default and the market risk premia required by...

We propose a new approach to measuring sovereign default risk. We use sovereign credit ratings and historical default rates provided by credit rating agencies to construct a measure of ratings implied expected loss. We compare our measure of expected loss from sovereign defaults with stand-alone...

We investigate the extent to which emerging stock market integration affects the joint behavior of stock and bond returns using a two-stage semi-parametric approach. Using a sample of 18 emerging markets, we find an unambiguous and robust link between emerging stock market integration and...

We ask whether loads affect investment flows in the US mutual fund industry. We argue that sales fees make the investment decision partially irreversible. Under these circumstances investors await for a stronger signal of managerial ability before committing to a new fund. This stronger signal...

In this paper I analyze investors’ reactions to changes in the expense ratios of equity mutual funds. I show that investment flows’ response to fees cannot be fully explained by looking at investors’ performance sensitivity. While performance sensitivity monotonically increases with past...

In this paper I analyze investors’ reactions to changes in the expense ratios of equity mutual funds. I show that investment flows’ response to fees cannot be fully explained by looking at investors’ performance sensitivity. While performance sensitivity monotonically increases with past...

In this paper, we empirically analyze the factors affecting the cross section of mutual fund fee dispersion. In the context of equity mutual funds, fee dispersion stems primarily from the heterogeneity of products, clienteles and production functions. However, the relevant theory predicts that...

"The question of which factors are relevant in determining bond underwriting fees is empirically investigated by analysing 2,202 bond issues completed by European firms during the 1993 - 2003 period. Four major results emerge from the analysis. First, the introduction of the single currency in...

"We investigate the how and why of performance fee provisions in a free contracting environment such as the Italian mutual fund market until 2006. We find weak support for the hypothesis that these provisions emerge as an economically efficient solution in a rational asset management industry...