Senior Fellows/Fellows

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Senior Fellows/Fellows

Repatriation Taxes and Foreign Cash Holdings: The Impact of Anticipated Tax Reform

Lisa De SIMONE, Joseph D. PIOTROSKI, Rimmy E. TOMY
We examine whether anticipation of a repatriation tax reduction affects the amount of cash U.S. multinational corporations (MNCs) hold overseas. We find that U.S. MNCs most likely to benefit from a repatriation tax reduction accumulated significant cash holdings once Congress proposed legislation, a...
Keywords: Multinational corporate taxation, Repatriation, Foreign cash
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Is there a home field advantage in global markets

Murali JAGANNATHAN, Wei JIAO, Andrew KAROLYI
International equity mutual funds that hire managers from a country linked to the fund`s geographic mandate exhibit a strong bias to invest in stocks of that country. These funds with “home-biased managers” attract disproportionally more flows, on average, that intensify during periods of higher...
Keywords: international mutual funds, home-bias, information endowment, performance
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Another Look at Currency Risk in International Stock Returns

Andrew KAROLYI, Ying WU
This paper offers new evidence on how currency risk is priced in the cross-section of international stock returns. Our experiment examines this long-standing question for a wide variety of test asset portfolios comprised of monthly returns for over 37,000 stocks from 46 countries over a two-decade p...
Keywords: International asset pricing, currency risk, exchange rates
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Cross-Border Bank Flows and Systemic Risk

Andrew KAROLYI, John SEDUNOV, Alvaro G. TABOADA
Using data on cross-border bank flows from Bank for International Settlement (BIS) reporting source countries to 114 recipient countries, we find that heightened bank flows are associated with lower systemic risk in the bank systems in the recipient country. The link between increased flows and redu...
Keywords: Cross-border bank flows, financial institutions, bank regulation, systemic risk, financial crises
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Continuous Time Random Matching

Darrell DUFFIE, Lei QIAO, Yeneng SUN
We show the existence of independent random matching of a large population in a continuous-time dynamical system, where the matching intensities could be general non-negative jointly continuous functions on the space of type distributions and the time line. In particular, we construct a continuum of...
Keywords: Independent dynamic random matching, directed search, enduring partnerships, exact law of large numbers, continuous-time, random mutation
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