Local Currency Bond Returns, Foreign Investors and Portfolio Flows in Emerging Markets

Seminar abstract

This seminar is based on the study, building upon theoretical frameworks incorporating portfolio decisions of institutional investors and fund flows, proposes a conditional asset pricing model to explain the cross-section local currency bond returns in emerging markets.

The authors find that bonds whose returns covary positively (negatively) with the returns on foreign investors’ portfolios exhibit higher (lower) average returns. The price of this type of risk increases with capital outflows, and bonds whose returns are higher on average exhibit a higher exposure when the price of risk is high.

These results have important implications for the policies and development of local currency bond markets.

Booking

This seminar is free to attend.

Please register your interest with the seminar organisers for details on how to join online.

Speaker bio

Giorgio Valente heads the Hong Kong Institute of Monetary and Financial Research (HKIMR), Hong Kong Monetary Authority and is a Fellow of the Asian Bureau of Finance and Economic Research (ABFER) and Associate Fellow of the Center for Economic Policy Research (CEPR).

Previously, Giorgio was Professor of finance at City University of Hong Kong and held academic positions at, among others, the University of Essex, the University of Warwick and the Chinese University of Hong Kong.

His current research focuses on issues in international finance and macroeconomics and fixed income markets, with particular interest in price determination and forecasting for fixed income and foreign exchange markets and the behaviour of international interest rates and security prices.

His work has been published in leading journals in finance and economics, such as the Journal of Business and Economic Statistics, Journal of International Economics, Journal of Financial Economics, Journal of Financial and Quantitative Analysis etc.

He has served as co-Editor of Applied Financial Economics and Applied Financial Economics Letters and he is currently on the editorial board of the Pacific Economic Review and the Journal of Financial Studies.

Over the years he has been visiting and consulting for several institutions including the US Federal Reserve, the Hong Kong Monetary Authority and the Bank for International Settlements.