Essays in empirical asset pricing and international finance

This dissertation examines international capital flows, asset prices, and firm resilience through three empirical essays.
The first essay studies sell-side equity analysts as cross-border information intermediaries. Using data on 19,039 stocks across 43 countries, it finds that foreign institutional ownership responds more strongly to analyst-implied expected returns than domestic ownership, especially in emerging markets. Aggregate analyst signals are also associated with exchange rate movements.
The second essay investigates how target date funds generate international capital flows through portfolio rebalancing. These funds offset changes in portfolio weights by reallocating between U.S. and international equities. Their contrarian rebalancing is linked to currency appreciation in destination markets and alters the relationship between performance and investor flows in the underlying foreign equity mutual funds.
The third essay introduces ReVaR, a forward-looking measure of firm resilience that captures how quickly conditional downside risk recovers after an extreme loss. Estimated using pre-crisis information, the measure predicts firm performance following the Internet Bubble, the Global Financial Crisis, and the COVID-19 outbreak. Firms with stronger innovation activity, including more valuable patents and greater knowledge capital, tend to be more resilient.
Together, the essays provide evidence on the roles of information intermediaries and institutional portfolio mandates in international financial markets, and on the relationship between innovation and firms’ ability to withstand extreme shocks.