Using a news-based gauge of geopolitical risk, we study its role in asset pricing in global
emerging markets. We find that changes in risk positively predict future stock returns. The …

Leading economic indicators assist in forecasting future business conditions. Can they also
predict aggregate stock returns? To answer this question, we examine six decades of data …

Using the change in the real effective exchange rate (REER) to reflect trade
competitiveness, we examine its role in the cross-section of global equity returns. The …

Motivated by stock-level evidence of the issuance anomalies, we examine whether a similar
effect drives the cross-section of country stock returns. To this end, we investigate six …

Composite equity issuance anomaly is puzzling. This study presents a risk-based
explanation that complements and transcends the behavior-based explanation by prior …

Bitcoin (BTC) returns exhibit pronounced positive skewness with a third central moment of
approximately 150% per year. They are well characterized by a mixture of Normals …

Interest rate changes typically affect equity values. However, if investors react slowly, the
repricing may stretch over time. Using a century of data from sixty countries, we demonstrate …

Behavioural finance literature argues that stock issuance contains information on equity
valuation. If so, does it predict the cross-section of both country and industry stock returns …

This study analyzes the implied volatility-index return relationship across asset classes,
geographical regions, and time, extending efforts that document the instantaneous relation …

We argue that most investable assets and strategies cluster into two broad groups:
productive and scarce. Intuitively, productive assets have high equity beta and positive carry …