How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...

This paper presents new evidence on international financial market integration using stock analyst earnings forecasts from 37 countries. By examining cash flow and discount rate news co-movements, we find that the financial and economic aspects of global market integration have diverged over...

In a two-country portfolio model with leverage constraints, I focus on private assets in order to understand how their behaviour can justify an expected excess return as well as the flight-to-safety observed in the data. The specific goal is to study how much these phenomena are explained by the...