This study analyzes the spillover effects of economic and political uncertainty from advanced, emerging and low-income economies on stock returns in Vietnam based on a firm-level approach. After controlling for firm-level and country-level factors and addressing potential endogeneity issues, we...

This paper provides a model to interpret the relative behavior of expected returns of high- and low-resilience assets from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup allows us to disentangle the probability of disaster and...

While uncertainty shocks affect equity markets at various investment horizons, knowledge about the causal effects of uncertainty and equity markets in the frequency domain is scant among the Group of Twenty (G20) countries regarded as systemically important economies. This paper explores the...