The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors, which are typically assumed to be strong. In this paper we consider two aspects of the APT. Firstly we relate the factors in the statistical factor model to a theoretically...

It is sometimes said that an effect of the COVID-19 pandemic will be heightened appreciation of the importance of scientific research and expertise. We test this hypothesis by examining how exposure to previous epidemics affected trust in science and scientists. Building on the “impressionable...

We investigate the long-term macroeconomic effects of climate change across 48 U.S. states over the period 1963.2016 using a novel econometric strategy which links deviations of temperature and precipitation (weather) from their long-term moving-average historical norms (climate) to various...

We investigate the long-term macroeconomic effects of climate change across 48 U.S. states over the period 1963.2016 using a novel econometric strategy which links deviations of temperature and precipitation (weather) from their long-term moving-average historical norms (climate) to various...

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...