International asset prices: empirical evidence
The recently witnessed financial turmoil and the current international stability context have demonstrated the need for a deeper understandingabout ex-ante international asset price fluctuations. Moreover, it is now more evident that very little is known about real estate securities and their long-run and short-run empirical determinants. There is also a lack of knowledge about the impact of US (or other foreign) shocks on international asset markets. Last but not least, there is a need for devising better models to forecast volatility and to manage risk in asset markets. The present thesis is a collection of essays that contribute to the latter issues. To preview some of the main results of the thesis with policy implications, we find that: (i) asset pricing models relevant for developed and emerging markets as well as different asset classes should be evaluated out-of-sample to avoid spurious results that may arise when performing the analysis exclusively insample, (ii) equilibrium adjustment, time-varying risk premia, asset return dynamics and contemporaneous equity returns play an important role in describing fluctuations of international real estate security prices, (iii) the aggregate impact (in absolute terms) and the 'goodness of fit' of US monetary policy on international equity and real estate prices is increasing over time, hinting at time-varying world market integration and (iv) analysts would get most efficient approximations of future asset returns and asset volatility when subjecting a broad set of alternative predictors to forecast combinations.