This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

This paper presents a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities with lower downside risk than existing alternatives. The test is applied to credit derivatives markets using strategies combining Credit Default Swaps (CDS) and Asset Swaps....

The paper analyses the role of investor type (individual-institutional) in trading volume dynamics in securities traded on the Spanish stock market. The results contrast with the evidence found for the US, by showing no sign that differences in investor type generate significant variation in the...

The inefficiency of the stock markets is often bound to the stake in evidence of anomalies noticed in the behavior of returns by several authors. These anomalies are revealing of inefficiency if their knowledge permits to make a profit ex-ante of strategies based on them. De Bondt and Thaler...

The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X that might be interpreted as the timing of future cash...

The current exchange rate policy is being argued about its vulnerability, especially at presence of an adverse external situation. In this context, it is important to check how market faces the credibility of such policy. This paper provides a way of measuring this credibility, using market's...

Sponsored search is the mechanism whereby where advertisers pay a fee to Internet search engines to be displayed alongside organic (non-sponsored) web search results. Based on prior literature, we draw an analogy between these markets and financial markets. We use the analogy as well as the key...

We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combinations of parameters and very little on other ones. The time of singularity that is supposed to give...

I compare the timing of information acquisition among institutional investors and sell-side analysts, and I show that hedge fund trades predict the direction of subsequent analyst ratings change reports while other investors' trades do not. In addition, hedge funds reverse trades after analyst...