Annual Conference

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Investment Finance

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May 2018

Global Market Inefficiencies

Söhnke M. BARTRAM, Mark GRINBLATT
Using point-in-time accounting data, we estimate monthly fair values of 25,000+ stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially Asia-Pacific, that are unrelated to known anomalies. The ...
Keywords: International finance, valuation, Asset Pricing, market efficiency, Fundamental analysis, Point-in-time, Transaction costs, Principal components, Instrumented principal components analysis
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2024

Global Flight to Safety, Business Cycles, and the Dollar

Martin BODENSTEIN, Pablo Cuba BORDA, Nils GORNEMANN, Ignacio PRESNO, Andrea PRESTIPINO, Andrea RAFFO, Albert QUERALTO
We develop a two-country macroeconomic model that we fit to a set of aggregate prices and quantities for the U.S. and the rest of the world. In addition to a standard array of shocks, the model includes time variation in agents’ preference for safe bonds. We allow for a component of this time vari...
Keywords: Econometrics and economic theory, International economics, Macroeconomic activity
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

Global Currency Hedging with Common Risk Factors

Steven J. RIDDIOUGH, Wei OPIE
We develop a novel method to dynamically hedge foreign exchange exposure in international equity and bond portfolios. The method exploits the time-series predictability of currency returns, which we show emerges from exploiting a forecastable component in global factor returns. The hedging strategy ...
Keywords: global currency hedging, currency risk factors, currency returns, international portfolio diversification, mean-variance optimization
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Annual Conference

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Investment Finance

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May 2022

Getting to the Core: Inflation Risks Within and Across Asset Classes

Xiang FANG, Yang LIU, Nikolai ROUSSANOV
Decomposing inflation into core and non-core components (e.g., energy) sheds new light on the nature of inflation risk and risk premia. While stocks have insignificant exposures to headline inflation in the U.S., their core inflation betas are negative while energy betas are positive. Conventional i...
Keywords: Inflation Risks, Core inflation, Cross-section of asset returns
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Annual Conference

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Senior Fellows/Fellows, Capital Market Development: China and Asia

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May 2013

Getting Better: Learning to Invest in an Emerging Stock Market

Tarun RAMADORAI, John Y. CAMPBELL, Benjamin RANISH
This paper reports evidence that individual investors in Indian equities hold better performing portfolios as they become more experienced in the equity market. Experienced investors tilt their portfolios profi…tably towards value stocks and stocks with low turnover, but these tilts do not fully ex...
Keywords: Emerging stock market, equity market, value stocks
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