We examine how local and global political risks affect industry return volatility. Our central premise is that some industries are more sensitive to political events than others. We find that industries that are more dependent on trade, contract enforcement, and labor exhibit greater return...

Roll [1988] observes low R2 statistics for common asset pricing models due to vigorous firm-specific return variation not associated with public information. He concludes that this implies “either private information or else occasional frenzy unrelated to concrete information” [p. 56]. We...

We document a robust cross-sectional positive association across industries between a measure of the economic efficiency of corporate investment and the magnitude of firm-specific variation in stock returns. This finding is interesting for two reasons, neither of which is a priori obvious....