Currency shocks affect future corporate earnings: Companies exporting in countries with an appreciating currency see their earnings increase. This reflects the fact that currency hedging is only partial. Using company-level data on geographic sales, we document that analysts fail to fully...

Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distribution of returns. We find that while Student copulas provide a good approximation for strongly correlated pairs of...

The aim of our work is to propose a natural framework to account for all the empirically known properties of the multivariate distribution of stock returns. We define and study a "nested factor model", where the linear factors part is standard, but where the log-volatility of the linear factors...