To confront the challenge that disaster risk is “dark matter” in finance, we construct an objective measure of disaster risk, which is able to predict half of GDP crashes in a sample of 20 advanced economies between 1870 and 2021. Despite this significant predictability, we find no...

Empirical evidence suggests that investor protection has significant effects on ownership concentration and asset prices. We develop a dynamic asset pricing model to address the empirical regularities and uncover some of the underlying mechanisms at play. Our model features a controlling...

We exploit the merger between BlackRock and Barclays Global Investors to study how changes in expected ownership concentration affect the investment behavior of funds and the cross-section of stocks worldwide. We find that funds with open-end structures and a large exposure to commonly-held...

The financial market turbulence in 1998, as other crises previously, produced strong price movements in the securities markets worldwide. This reflected, first, a general reassessment of credit risk, and, second, a drying-up of liquidity even in some of the largest mature securities markets. As...

We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross-sectional variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that exchange rate risk, firm size, the...

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...

We study the effect of environmental, social and governance (ESG) scores on the portfolio allocations of institutional investors. Using a unique data set, we find that institutional investor holdings (as measured by 13F filings) are strongly driven by the ESG quality of companies. While...