We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index … disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index … portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When …

We construct the World Uncertainty Index (WUI) for an unbalanced panel of 143 individual countries on a quarterly basis …. Globally, the Index spikes around major events like the Gulf War, the Euro debt crisis, the Brexit vote and the COVID pandemic …

The composite index of leading indicators is found to be a valuable tool for predicting not only the direction but also … index as a predictor of (1) business cycle turning points as dated by the National Bureau of Economic Research and (2 …) quantitative changes in real GNP and the composite index of coincident indicators. Specific smoothing rules are identified which …

The standard source for pre-WWII global freight rate trends is the Isserlis British tramp shipping index. We think it … transported. Previous scholars have deflated their nominal freight rate indices by a price index that includes tradables not …

Building on Baker, Bloom and Davis (2016), I construct a monthly index of Global Economic Policy Uncertainty (GEPU …) from January 1997. The GEPU Index is a GDP-weighted average of national EPU indices for 16 countries that account for two …-thirds of global output. Each national EPU index reflects the relative frequency of own-country newspaper articles that contain …