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India's foreign reserves and global risk
Ghate, Chetan; Kletzer, Kenneth; Yadav, Mahima - 2024
Persistent link: https://www.econbiz.de/10015064797
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Firm-Level Evidence on International Stock Market Comovement
Brooks, Robin - 2016
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...
Persistent link: https://www.econbiz.de/10012991324
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International Portfolio Diversification and Multilateral Effects of Correlations
Bergin, Paul R. - 2012
reduces effective diversification. However, a multi-country DSGE model of portfolio choice makes clear that the effects of a … puzzle, and finds that international investors do seek the diversification benefits of low cross-country correlations as …
Persistent link: https://www.econbiz.de/10013109442
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International Portfolio Diversification : An ICAPM Approach with Currency Risk
Dimitriou, Dimitrios I. - 2013
the CAPM in sub-periods. In addition, we connect our results to the timing of world financial crises. Our findings show … recent decade, reducing the benefits of portfolio diversification …
Persistent link: https://www.econbiz.de/10013089701
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International Portfolio Bond Spillovers
Ceballos, Luis; Romero, Damian - 2022
We analyze spillovers of financial conditions on international portfolio bond flows. We document significant US financial conditions spillovers using data from developed and emerging countries. To disentangle the nature of spillovers, we rely on panel spatial autoregressive models, and third...
Persistent link: https://www.econbiz.de/10013406390
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International Portfolio Bond Spillovers
Ceballos, Luis; Romero, Damián - 2022
We analyze spillovers of financial conditions on international portfolio bond flows. We document significant US financial conditions spillovers using data from developed and emerging countries. To disentangle the nature of spillovers, we rely on panel spatial autoregressive models, and third...
Persistent link: https://www.econbiz.de/10013292828
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Decomposing the U.S. External Returns Differential
Curcuru, Stephanie E. - 2009
We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...
Persistent link: https://www.econbiz.de/10012463572
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Corporate Governance and the Home Bias
Pinkowitz, Lee - 2001
equilibrium. We construct an estimate of the world portfolio of shares available to investors who are not controlling shareholders …. This available world portfolio differs sharply from the world market portfolio. In regressions explaining the portfolio … weights of U.S. investors, the world portfolio of available shares has a positive significant coefficient but the world market …
Persistent link: https://www.econbiz.de/10012470035
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International Portfolio Diversification and Labor/Leisure Choice
Jermann, Urban J. - 1998
optimal international diversification. We find that in the symmetric case the model's ability to help explain home …
Persistent link: https://www.econbiz.de/10012472436
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International Home Bias in International Finance and Business Cycles
Lewis, Karen K. - 1998
would optimally diversify away domestic output risk. Therefore, in a world without investor home bias, consumption growth … country appears to be highly correlated with its own output growth relative to the world. This phenomenon may be called …
Persistent link: https://www.econbiz.de/10012472465