This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...

Political uncertainty is a risk that affects the decision-making processes of firms. Therefore, it is crucial to understand what causes political uncertainty and include appropriate indicators in a risk management system. This study introduces election polls as a new determinant of political...

This paper studies the relationship between climate risk and credit risk. We find a negative correlation between emission levels and default risk once firm's fixed characteristics are taken into account. By breaking down Moody's Expected Default Frequencies (EDFs) into its main components, we...