This paper uses two economic shocks, a catastrophic earthquake, the Great East-Japan Earthquake, that hit Japan on March 11, 2011 and the pandemic in 2020, to determine if investors respond differently by the types of economic shocks. We analyze the factors affecting the abnormal returns during...

This literature overview conducts a systematic study of how the climate related risks from global warming may affect financial markets. The climate related risk is divided into three subcategories, the environmental uncertainty, the economic climate risk and the climate policy risk, which all of...

Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk, but less so than firm characteristics. Idiosyncratic...

While tax avoidance strategies result in greater after-tax cash flows, they can involve uncertain future outcomes, which can impose significant costs on firms. Thus, the extent to which tax avoidance increases firm risk is unclear. This paper re-examines the relation between tax avoidance and...

We use exchange-traded options to identify risks relevant to capital structure adjustments in firms. These forward-looking market-based risk measures provide significant explanatory power in predicting net leverage changes in excess of accounting data. They matter most during contractionary...

Using new textual analysis techniques to extract a broad set of disclosed risk factors from firms' SEC filings, I examine characteristics of the firms and industries most likely to make each type of disclosure, and investigate the relation between firms' risk disclosures and their stock return...

Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...

This paper modelizes and provides asset pricing implications of corporate governance policies. Agency costs, proxied by commonly used corporate governance indices, arise because insiders are self-interested and vary across firms. First, firms differ in their agency costs’ level during initial...

Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether cybersecurity risk is priced in the cross-section of stock returns....

This study extends the Grullon, Michaely and Swaminathan (2002) analysis by incorporating default risk. Using data for firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, we find reduction in default risk. This reduction is shown to be a priced...