Senior Fellows/Fellows

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Senior Fellows/Fellows

We argue, from an extensive literature review, that in the vast majority of research settings, biases in alternative expected-return proxies (ERPs) are irrelevant. Therefore, in most settings, the choice between alternative ERPs should be based on an evaluation of their relative measurement-error va...
Keywords: Expected-Return Proxies, finance, implied cost of capital, time-series
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Senior Fellows/Fellows

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Senior Fellows/Fellows

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

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

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

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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