Publications
Chosen filters:
Chosen filters:
The response of multinationals' foreign exchange rate exposure to macroeconomic news KU Leuven Ghent University Vrije Universiteit Brussel
© 2019 Elsevier Ltd We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a transitory and a persistent component. For example, a positive domestic demand surprise, as reflected in higher-than-expected nonfarm payroll, ...
A measure of pure home bias KU Leuven
© The Authors 2017. The literature on international equity holdings distinguishes between home bias (overweighting of home stocks) and foreign bias (relative underweighting for more "distant" countries). The two biases can be integrated into one distance-based model.We define pure home bias as the excess of home bias relative to this model, and find pure home bias only in emerging markets. Countries with high tax rates and low credit standing ...
Orthogonalized regressors and spurious precision, with an application to currency exposures KU Leuven
Regressions often use pre-orthogonalized regressors: prior to the main regression, an independent variable xi is regressed upon the other regressor(s), and its residuals are used in the right-hand side of the main regression instead of the raw variable itself. For example, the exposure of a stock's return to exchange rate changes is conventionally estimated by a regression, and often the market return is included as an additional regressor. By ...
The equity home bias puzzle: A survey KU Leuven
Home bias – the empirical phenomenon that investors assign anomalously high weights to their own domestic assets – has puzzled academics for decades: financial theory predicts that an internationally well diversified portfolio of stocks and short-term bonds can reduce risk significantly without affecting expected return. Although the globalization of international equity markets has increased international investments, equity portfolios remain ...
Remodeling the Working-Kaldor curve: The roles of scarcity, time to maturity and time to harvest KU Leuven
To explain convenience yield accruing to commodity inventory holders, time to maturity (TTM) and TIME to harvest should interact with current scarcity. Using weekly data for corn, wheat and soyabeans (1986–2009), the interaction (multiplicative)model performs better than traditional versions that, at best, incorporate TTM additively and ignore harvests. Among the competing proxies for scarcity, the combination of spot price and inventory beats ...
An Anatomy of Fundamental Indexing KU Leuven
Adherents of Fundamental Indexing (FI) suggest that it is more profitable to base portfolio weights on indirectly size-related indicators like accounting data rather than directly on market caps. In noisy markets `a la Roll (1984), it is argued, underpriced stocks overperform but are underweighted and vice versa, implying a ‘drag’ which FI claims to avoid. Mixed into the debate is the question whether mispricing is partly identifiable or not, ...