Recent empirical evidence has demonstrated that both global industry factors and country factors are important determinants of equity prices. In light of this evidence, we describe a cross-industry, cross-country allocation framework for making active global equity investment decisions. We...

The paper addresses the question of whether financial liberalisation and innovation have significantly altered consumption behaviour by reducing liquidity constraints as capital markets have become more flexible. A consumption model in which the permanent income hypothesis and extreme Keynesian...

We investigate the ability of several international asset pricing models to price the returns on 36 FTSE global industry portfolios. The models are the international capital asset pricing model (ICAPM) the ICAPM with exchange risks, and global two-factor and three-factor Fama-French (1996, 1998)...

Using a new survey data set of matched exchange rate and interest rate expectations for eight currencies relative to the German mark, we examine empirically the relationship between exchange rate returns, `news' and risk premia. "News" on interest differentials enters significantly in equations...

Using a new set of survey data on EMS exchange rates, we investigate exchange rate expectations and risk premia between December 1985 and August 1991 to assess credibility of the system. It appears that the EMS—with the exception of the Italian lira—had become credible since early...

The paper addresses the question of whether financial liberalisation and innovation has significantly altered consumption behaviour by reducing liquidity constraints as capital markets become more flexible. A consumption model in which the permanent income hypothesis and extreme Keynesian...