We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to...

We use stock market data to test cross-sectional implications of theories of sovereign default and provide a market-based estimate of sovereign default costs. We find that the stock prices of firms vulnerable to financial intermediation disruption, or firms more exposed to the government, are...

We document that credit spreads are positively related to two types of executory contracts: noncancellable operating leases and unconditional purchase obligations. However, while leases and purchase obligations receive the same treatment by the Bankruptcy Code and current financial reporting...

Fama and French (2012) find no significant global value premium among large stocks. Two simple departures from their methodology restore such premium: sorting stocks on price-to-earnings rather than price-to-book ratios, and using global rather than regional value breakpoints. The resulting...

According to Fama and French's (2012) price-to-book sorts, there is no global value premium among large stocks. Two simple departures from their methodology restore such premium: sorting stocks based on price-to-earnings rather than price-to-book ratios, and using global rather than regional...

Using surveys of foreign exchange expectations, we document the emergence of a large gap between the beliefs of foreign banks and local-based institutions ahead of Brazil's 2002 presidential elections. That period was marked by a sudden stop in foreign capital flows and steep depreciation of...

We perform an out-of-sample test of the Sell in May effect studied by Bouman and Jacobsen (American Economic Review, 2002). Reducing equity exposure starting in May and levering it up starting in November persists as a profitable market timing strategy. On average, stock returns are about 10...