This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...

Investors often focus their attention on recent information only, underestimating the rele-vance of information from the distant past. In consequence, the ordering of historical re-turns robustly predicts future stock performance in the cross-section. Using data from 49 countries, we...

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market-wide climate change news index and find that high...

We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...

This study examines the effects of geopolitical risk (GPR) shocks on stock market returns and volatility across G7, BRICS, and Gulf countries, using a time-varying parameter vector autoregression (TVP-VAR) model. By analyzing responses over short, medium, and long-term horizons, our findings...

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...

This thesis investigates value and momentum effects in the U.S. market after the recent financial crisis as well as for other periods. Many researchers contend that market anomalies exist in the two popular forms, value and momentum effects, and have studied where abnormal profits arise. Not...