In this article I provide new evidence on the role of nonlinear drift and stochastic volatility in interest rate modeling. I compare various model specifications for the short-term interest rate using the data from five countries. I find that modeling the stochastic volatility in the short rate...

We report international, style, and subperiod evidence for the Other January Effect (OJE) documented in Cooper et al. (2006). When examining the OJE in 22 countries starting as early as 1801, we find that the spread between 11-month returns following positive and negative Januarys does tend to...

We find that the market's recent cross-sectional dispersion in stock returns is positively related to the subsequent value book-to-market premium and negatively related to the subsequent momentum premium. The partial relation between return dispersion (RD) and the subsequent value and momentum...

We jointly investigate time-varying comovements between stock returns across countries and between long-term government bond and stock returns within countries. Our focus is on how daily return comovements vary with stock uncertainty, as measured by the implied volatility (IV) from equity index...

We examine whether time variation in the comovements of daily stock and Treasury bond returns can be linked to measures of stock market certainty, specifically the implied volatility from equity index options and detrended stock turnover. From a forward-looking perspective, we find a negative...

We find that the market’s recent cross-sectional dispersion in stock returns is positively related to the subsequent value book-to-market premium and negatively related to the subsequent momentum premium. The partial relation between return dispersion (RD) and the subsequent value and momentum...