Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk. In this paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to capture these stylized facts, we develop a model of international… (More)
We develop a II(!lV procedllre to forecast flltllre casbjlolVsfrom ajillallcial asset alld tbell lise tbe presellt vallie of ollr casb jlOlV forecasts to calCIIlate tbe asset's f,mdamelltal price. As all example, we COllstrllct a 1I0lllillear AJljfA.-ARCH-Artificial Nellral Network model to obtaill Ollt-Of-sample dividelldforecastsf01'1920 alld beyolll/,… (More)
Dissatisfaction with traditional accounting-based performance measures has spawned a number of alternatives, of which Economic Value Added (EVA) is clearly the most prominent. How can we tell which performance measures best capture managerial contributions to value? There is currently a heated debate among practitioners as to whether the new performance… (More)
Banking and Finance Conference meetings for helpful discussion and comments. I gratefully acknowledge the financial support of a University of British Columbia Graduate Fellowship.
One striking feature of international portfolio investment is the extent to which equity portfolios are concentrated in the domestic equity market of the investor–the home bias puzzle. In this paper, I examine the role of investors' perception of the risk of foreign investment on their portfolio choices. The expected returns and risk of foreign investment… (More)
acknowledges the financial support from the UBC-HSS and the Social Sciences and Humanities Research Council of Canada. McNally acknowledges the financial support from the Social Sciences and Humanities Research Council of Canada. The usual disclaimer applies.
Do secondary substances in the thallus of a lichen promote CO 2 diffusion and prevent depression of net photosynthesis at high water content? Oecologia 112 : 1– 3. hydrophobin accumulated in the Hartig net of ectomycorrhiza formed between Tricholoma terreum and its compatible host tree is missing in an incompatible association. 2000. Interfacial… (More)