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  • Pierre-Olivier Gourinchas, Aaron Tornell, +10 authors Karen Lewis
  • 2003
We propose a new explanation for the foreign exchange forward-premium and delayed-overshooting puzzles. We show that both puzzles arise from a systematic distortion in investors's beliefs about the interest rate process. Accordingly, the forward premium is always a biased predictor of future depreciation; the bias can be so severe as to lead to negative(More)
We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of country-level returns. Both global and local sentiment are(More)
for useful discussions. We are also grateful for comments from Abstract Our objective is to identify the trading strategy that would allow an investor to take advantage of " excessive " stock price volatility and " sentiment " fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are(More)
Multi-country consumption risk sharing studies that match the equity premium typically find very large gains from risk-sharing. However, these studies usually generate counterfactual implications for the risk-free rate and asset return variability. In this paper, we modify a canonical risk-sharing model to generate asset return behavior closer to the data(More)
There is tremendous excitement about the promise of new genomic technologies to transform medical practice and improve patient care. Although the full power of genetic diagnosis has not yet been realized, paradigms of clinical decision-making are changing. In fact, recent policy level changes to promote genetic counseling by certified genetics professionals(More)
I n an open macroeconomy, in which asset trade is possible, the portfolio choice of households may play an important role in understanding macro fluctuations. In contrast to a closed economy model, in which a representative agent simply holds the market portfolio, agents in each country may hold different portfolios depending on the country-specific risks(More)
The diversity and quantity of moons in the Solar System suggest a manifold population of natural satellites exist around extrasolar planets. Of peculiar interest from an astrobiological perspective, the number of sizable moons in the stellar habitable zones may outnumber planets in these circumstellar regions. With technological and theoretical methods now(More)
A Working Paper is the author's intellectual property. It is intended as a means to promote research to interested readers. Its content should not be copied or hosted on any server without written permission from publications.fb@insead.edu Click here to access the INSEAD Working Paper collection Abstract We develop an international …nancial market model in(More)