This study investigates the effects of geopolitical risk (GPR) on asset markets in 17 advanced countries from 1899 to 2016 using novel GPR indices. First, compared with housing returns, stock returns are more sensitive to increases in GPR: on average, an increase in GPR significantly decreases...

Original sin is widely considered inevitable for emerging market economies on the ground that their currencies are not accepted as international currencies. Few, however, explore the effects of currency controls on original sin. To examine this possibility, I consider an open economy with a...

This paper investigates the source of variation in emerging market (EM) local currency bond risk premium by employing panel fixed effects regression model. Moreover, we use the methodology of dynamic factor model for large datasets to investigate the possible linkages between excess bond return...

Equity rights offerings are the predominant SEO floatation method in many European and Asian countries. Several previous studies focus on rights offerings, but these studies often measure solely the announcement effects of these offerings and pay little attention to the discount. This study...

Many papers in recent years have examined the benefits of adding alternative assets to traditional portfolios containing stocks and bonds. Bitcoin has emerged as a new alternative investment for investors which has attracted much attention from the media and investors alike. However relatively...

I study the impact of US monetary policy on managed exchange rates by analyzing the pricing of American Depositary Receipts (ADRs) around FOMC meetings. The significant negative impact of US monetary surprises on abnormal ADR returns for currencies that are managed reflects changes in these...

We study the short-term impact of sovereign rating and outlook changes on daily portfolio flows of active and passive mutual funds to emerging market economies. Our results indicate that active bond fund flows react only to negative rating actions, whereas passive bond fund flows are sensitive...

Factor attribution based on linear regression often fails to satisfactorily explain the performance of systematic investment strategies. A volatile or persistent residual suggests nonlinear interactions between factor returns and portfolio construction. We propose a nonparametric adjustment to...

In foreign exchange (FX) trading, an aggregator is used to connect traders with liquidity providers (LPs). In an aggregator, a trader receives a continuous stream of bid and ask quotes from a predefined set of LPs, and the difference between the best bid and ask prices over a set of liquidity...

The main objective of this study is to empirically determine which factors are related to the development of local-currency bond market (LCBM) in Saudi Arabia over the period 1990-2019. Using ARDL modeling, the results reveal long-run cointegrating relationships between LCBM capitalization and...