We examine how emerging market (EM) investors allocate their stock portfolios internationally. Using both country-level and institution-level data, we find that the coming wave of EM investors systematically over- and under-weight their holdings in some target countries. These abnormal foreign...

We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be controlled by actions of the investor. Using the classical...

This paper develops a model to analyze information aggregation in commodity markets. Through centralized trading, commodity prices aggregate dispersed information about the strength of the global economy among goods producers whose production has complementarity, and serve as price signals to...

Deviating from conventional models in financial economics which maintain that markets are perfectly informed, more recent work has relied on the role of private information to explain observed portfolio choices or their impact on market outcomes in financial and currency markets (see, e.g.,...

This paper develops a model to analyze information aggregation in commodity markets. Through centralized trading, commodity prices aggregate dispersed information about the strength of the global economy among goods producers whose production has complementarity, and serve as price signals to...

Private investors from emerging market economies are increasingly putting their funds in overseas assets. Understanding the volumes and patterns of the various outflows — sovereign and private — and analyzing what influences them will help shed light on how the landscape of international...