We study whether exchange traded funds (ETFs)--an asset of increasing importance--impact the volatility of their … stocks owned by ETFs exhibit significantly higher intraday and daily volatility. We estimate that an increase of one standard … deviation in ETF ownership is associated with an increase of 16% in daily stock volatility. The driving channel appears to be …

for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign …

continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with … standard frameworks. Equity returns depend upon both domestic and global risk factors. Further, local investors tend to …

Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower … idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk …, but less so than firm characteristics. Idiosyncratic risk falls as government stability and respect for the rule of law …

dividend yield. We consider a simple asset pricing model with liquidity and the market portfolio as risk factors and …

, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response … to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and … earned abnormally high risk-adjusted returns — a three factor alpha of 1 percent per month between 1927 and 2012 and 0 … remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return …