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Open Access#22010
Managing Commodity Risk: Can Sovereign Funds Help?
A number of countries have recently responded to high and volatile commodity prices by setting up commodity funds. In several cases, these funds have proved effective in stabilising government spending and boosting savings, but on the whole they have unfortunately not achieved the hoped-for results. In many cases, resources initially allocated to sovereign funds were later commandeered by the government and ultimately squandered. In this paper we review past experiences with commodity funds and discuss incentives that can be used to ensure that commodity risk is managed with greater efficiency and that funds are more autonomous, a vital prerequisite to meeting their original aims. ; info:eu-repo/semantics/published
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Article(electronic)#32022
Green Sentiment, Stock Returns, and Corporate Behavior
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Article(electronic)#42021
When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times
In: Journal of Financial Research, Forthcoming
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Article(electronic)#52021
Augmenting Investment Decisions with Robo-Advice
In: Université Paris-Dauphine Research Paper No. 3751620
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Article(electronic)#72015
Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market
In: World development: the multi-disciplinary international journal devoted to the study and promotion of world development, Volume 67
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Article(electronic)#82015
Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market
In: World Development, Volume 67, Issue 2015
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Article(electronic)#92014
Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market
In: World Development, Volume 67, Pages 110–125, March 2015
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Article(electronic)#102014
Sovereign Wealth and Risk Management: A Framework for Optimal Asset Allocation of Sovereign Wealth
In: Journal Of Investment Management (JOIM), First Quarter 2014
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Article(electronic)#112013
Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice
In: Boston U. School of Management Research Paper No. 2013-11
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Open Access#142012
No contagion, only globalization and flight to quality
In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities, government bonds, investment-grade corporate bonds, and high-yield corporate bonds, in four geographical zones. Overall, the results confirm the instability of correlations and point to a combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to globalization. ; info:eu-repo/semantics/published
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Open Access#152008
No contagion, only globalization and flight to quality
In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities, government bonds, and corporate bonds – investment grade and high yield – in four geographical zones. Overall, the results confirm the instability of correlations and point to a combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to globalization. ; info:eu-repo/semantics/published
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