In this paper, I study individual currency pairs and examine the behavior of the cross section of their carry returns with the USD. Developed and emerging market carry trades yield high Sharpe ratios even after adjusting for transaction costs. I show that carry trade risks carry trade risks are...

This paper examines the liquidity, Tobin's Q, and cost of equity effects from voluntary and mandatory IFRS adoption. In contrast to prior work, we focus on the firm level heterogeneity in the economic consequences, recognising that the level of uncertainty avoidance (UAI) in a country will...

Political uncertainty drives markets. Among macroeconomic forces, it is one of the fewfactors that systematically affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We employ static and conditional factormodels using data in...

We show, using data for 57 countries over the 1990–2015 period, that investors' risk perceptions are an important determinant of international stock market liquidity. Increased risk perception reduces liquidity around the world, and its impact is not subsumed by other well-documented...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Based on qualitative empirical research, we examine the extent to which Central European emerging stock markets were affected by the recent international financial crisis, and how the current investment climate influences investments in Polish equities. We find that global financial crisis...

In a recent stock market reform, over half of the stocks listed in the Shanghai Stock Exchange became purchasable by foreign investors. Theory predicts that the price revaluation of an investible stock should be positively associated with the reduction in systematic risk. Using the policy as a...

I examine the effects of shareholder litigation risk on cross-listed firms' information environment, as captured by information asymmetry. In order to disentangle the effects of shareholder litigation risk from those of confounding factors, I exploit a quasi-natural experiment in the form of a...

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...

There is a growing empirical literature on gold's safe haven status with respect to financial risks but no study with respect to global geopolitical risks. This paper extends the common focus on extreme stock market movements and financial turmoil with an analysis of geopolitical risk. We find...