This dissertation analyzes how asset performance relates to inflation based on 50 countries and 60 years of data. The three key findings are: a nonlinear behavior of bills, bonds, and equities against inflation, the demystification of listed infrastructure as inflation hedge, and, finally, a...

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...

Recent findings for the U.S. stock market indicate that cash-based profitability measures (i.e., profitability measures that exclude accounting accruals) outperform measures of profitability that include accruals. We demonstrate that this result also holds for international markets. In a...

Using monthly stock returns from 28 emerging market countries and a total sample period of 21 years, we investigate the predictive power of a broad set of factors. We document that the factor definitions of the Fama and French (2015) five-factor model are less robust compared to alternative...

I compare commonly employed factor models across 50 non-U.S. developed and emerging market countries by ranking them based on their maximum Sharpe ratios. Consistent with the U.S. evidence presented in Barillas, Kan, Robotti, and Shanken (2019), I find that the factor models of Fama and French...