We study compound returns to nearly 62,000 global common stocks during the 1990 to 2018 period, documenting that the majority, 56% of US stocks and 61% of non-US stocks, under perform one-month US Treasury bills over the full sample. Focusing on aggregate shareholder wealth creation measured in...

This paper constructs a global tail risk (GTR) index and examines the role of GTR in predicting the volatility of international stock markets. Our empirical results emphasize that GTR contains valuable information to predict the stock volatility of group 7 (G7) countries. In addition, accounting...

This paper estimates global bad and good uncertainties from monthly data on industrial production from a large set of countries. Bad and good uncertainties have opposite effects on macro aggregates and stock returns. An increase in bad uncertainty adversely impacts both, while an increase in...