This paper uses high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010 to show that a greater reliance on foreign market sales increases the conditional volatility of firms' stock returns. The two margins of global engagement we consider, namely,...

Publicly traded emerging market affiliates of large multinational corporations (headquartered and mostly also listed in developed markets) have shown remarkably good performance over the past fourteen years. These affiliates combined high performance with lower volatility, outperforming both...

Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009 - 2010 period. Some observers have attributed a significant part of this increase in commodity prices to the U.S. Federal Reserve's large-scale asset purchase (LSAP) programs. Using event-study...

We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future...

This study investigates whether abnormal returns can be earned using public information about firms' domestic and foreign earnings. The results indicate that the market understates foreign earnings' persistence. As a result, it is possible to construct a zero-investment hedge portfolio that...

I present an improved equity momentum measure for corporate bonds and study the Euro denominated global investment grade corporate bond market between 2000 and 2016. I document economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely...

Using event study methodology, we investigate whether bilateral investment protection treaties afford protection to foreign investors. Examining arbitral decisions for firms from six countries shows that firms that received awards from arbitrators gained in market value by as much as 3%. Per...

In this paper, we examine the benefits of accounting comparability for cross-border investments in private firms. Exploiting a quasi-experimental setting we examine the real effect of an increase in accounting comparability using a difference-in-differences research design. We find that the...