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Global Portfolio Rebalancing Under the Microscope
16 references·16 citing·44 second hopsampled
Global Portfolio Rebalancing Under the Microscope (2008)Global Portfolio Rebalancing Under the Mi…U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing? (2016)U.S. Equity Investment in For…An Institutional Theory of Momentum and Reversal (2013)An Institutional Theory of Mo…Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Matters: The Real Effect…Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)Infrequent Portfolio Decision…Financial Exchange Rates and International Currency Exposures (2010)Financial Exchange Rates and …International capital flows (2009)International capital flowsHome bias in global bond and equity markets: The role of real exchange rate volatility (2007)Home bias in global bond and …International Financial Adjustment (2005)International Financial Adjus…Exchange Rates, Equity Prices, and Capital Flows (2005)Exchange Rates, Equity Prices…The determinants of cross-border equity flows (2004)The determinants of cross-bor…The portfolio flows of international investors (2001)The portfolio flows of intern…Trying to Explain Home Bias in Equities and Consumption (1999)Trying to Explain Home Bias i…International Portfolio Investment Flows (1997)International Portfolio Inves…Home bias and high turnover (1995)Home bias and high turnoverInvestor Diversification and International Equity Markets (1991)Investor Diversification and …In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)In search of the exchange ris…International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme (2020)International Capital Flows a…Does institutional ownership matter for international stock return comovement? (2017)Does institutional ownership …Differences of Opinion and International Equity Markets (2016)Differences of Opinion and In…Real financial market exchange rates and capital flows (2015)Real financial market exchang…Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds (2015)Local Ownership, Crises, and …Uncovered Equity Parity and rebalancing in international portfolios (2014)Uncovered Equity Parity and r…Equity hedging and exchange rates at the London 4p.m. fix (2014)Equity hedging and exchange r…On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios (2012)On the International Transmis…Capital Flows, Cross-Border Banking and Global Liquidity (2012)Capital Flows, Cross-Border B…Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls (2012)Bubble Thy Neighbor: Portfoli…Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls (2012)Bubble Thy Neighbor: Portfoli…Differences of Opinion and International Equity Markets (2011)Differences of Opinion and In…How Important are Foreign Ownership Linkages for International Stock Returns? (2010)How Important are Foreign Own…Valuation Effects and the Dynamics of Net External Assets (2009)Valuation Effects and the Dyn…International order flows: Explaining equity and exchange rate returns (2009)International order flows: Ex…Common Risk Factors in Currency Markets (2008)Common Risk Factors in Curren…International Portfolio Choice and Corporation Finance: A Synthesis (1983)An Intertemporal General Equilibrium Model of Asset Prices (1985)The World Price of Covariance Risk (1991)Equity and bond flows to Latin America and Asia: the role of global and country factors (1998)Foreign portfolio investors before and during a crisis (2002)What Segments Equity Markets? (2011)The equity premium: A puzzle (1985)The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988 (1991)Strategic Asset Allocation (2002)Winter Blues: A SAD Stock Market Cycle (2003)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)An equilibrium model of the international capital market (1974)Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments (2005)The General Theory of Employment (1937)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2012)Rare Disasters and Exchange Rates * (2015)Time‐Varying World Market Integration (1995)Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)A Rational Expectations Model of Financial Contagion (2002)Empirical exchange rate models of the seventies (1983)Exchange Rate Dynamics Redux (1995)The Limits of Arbitrage (1995)International Financial Adjustment (2007)Time to Build and Aggregate Fluctuations (1982)Impulse response analysis in nonlinear multivariate models (1996)The Time-Varying Volatility of Macroeconomic Fluctuations (2008)The Impact of Uncertainty Shocks (2009)Uncertainty shocks are aggregate demand shocks (2016)Uncertainty Shocks in a Model of Effective Demand (2017)Continuous Auctions and Insider Trading (1985)The impact of institutional trading on stock prices (1992)Mutual Fund Herding and the Impact on Stock Prices (1999)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Style investing (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Foundations of International Macroeconomics (1997)Legal Determinants of External Finance (1997)Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation (2008)Cultural Biases in Economic Exchange? * (2009)Econometric Analysis of Panel Data (2021)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)
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References

  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 2004The determinants of cross-border equity flows1,722 cited
  • 1999Trying to Explain Home Bias in Equities and Consumption1,364 cited
  • 1997International Portfolio Investment Flows1,284 cited
  • 1995Home bias and high turnover1,245 cited
  • 2001The portfolio flows of international investors956 cited
  • 2011Risk Matters: The Real Effects of Volatility Shocks765 cited
  • 2005Exchange Rates, Equity Prices, and Capital Flows622 cited
  • 2005International Financial Adjustment439 cited
  • 2016U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?433 cited
  • 2010Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle368 cited
  • 2010Financial Exchange Rates and International Currency Exposures361 cited
  • 2013An Institutional Theory of Momentum and Reversal338 cited
  • 2009International capital flows335 cited
  • 2007Home bias in global bond and equity markets: The role of real exchange rate volatility333 cited
  • 1982In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

318 cited

Cited by

  • 2012On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios68 cited
  • 2012Capital Flows, Cross-Border Banking and Global Liquidity68 cited
  • 2016Differences of Opinion and International Equity Markets63 cited
  • 2008Common Risk Factors in Currency Markets63 cited
  • 2014Uncovered Equity Parity and rebalancing in international portfolios62 cited
  • 2014Equity hedging and exchange rates at the London 4p.m. fix60 cited
  • 2012Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls51 cited
  • 2009International order flows: Explaining equity and exchange rate returns49 cited
  • 2015Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds47 cited
  • 2012Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls44 cited
  • 2010How Important are Foreign Ownership Linkages for International Stock Returns?43 cited
  • 2009Valuation Effects and the Dynamics of Net External Assets38 cited
  • 2020International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme33 cited
  • 2017Does institutional ownership matter for international stock return comovement?33 cited
  • 2015Real financial market exchange rates and capital flows32 cited
  • 2011Differences of Opinion and International Equity Markets31 cited