This study is motivated by the theoretical and empirical argument that assert an important association between religion and stock price crash risk (Kennedy and Lawton, 1998; Carter, McCullough and Carver, 2012; Jin and Myers, 2006; Callen and Fang, 2016; Li and Cai; 2018). We study the impact of religion, as...

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

Uncertainty shocks affect expectations and corporate profits and mostly transmit globally. This article provides an uncertainty shocks spillover index from the log-ratio of volatility indices to measure the transmission of uncertainty shocks across European financial markets from 2001 to 2018....

Global risks allow theoretical models of the currency market to explain currency risk premia. Yet, there is no consensus in the empirical literature on which factors can represent global risks. We develop an asset pricing test for global risk factors that relies on the key assumption of a...

Using several new datasets, I document the role of legal risk premia in bond yields during the Euro-crisis. I find evidence of a rising premium especially in late 2011 and mid-2012 on bonds with foreign governing law relative to those with local governing law (and otherwise similar...

There is no doubt that Cuba is working hard to attract foreign investors. In 2014 its foreign investing laws were completely reformed to accommodate this, however, it may be too early to determine whether these reforms actually reduce investor risk. For foreign investors ready to make the move...

Variations in fine wine prices can be prominent and have widespread economic and financial implications. Although fine wine investments are dominated by French wines, we demonstrate that significant international diversification benefits exist for investors in Italian, Australian and Portuguese...

We investigate the relation between the risk premia observed in forward foreign exchange markets and international equity markets using the Arbitrage Pricing Theory. If returns on well-diversified equity portfolios explain movements in agents' intertemporal marginal rate of substitution then the...

The United States (US) extracts a large macroeconomic premium from foreigners: she enjoys higher consumption and GDP growths on average relative to the rest of the world (ROW). This is earned even though the US is relatively insulated against global consumption and GDP risks, challenging a...