This publication covers seed and early stage financing for high growth companies in OECD and non-OECD countries with a primary focus on angel investment. Angel investment is the primary source of outside equity financing for start-ups in a number of countries, yet it is frequently overlooked as...

Research on angel investors is sparse because data are sparse. Most comprehensive studies of angel investors have focused on the US and UK. In these studies, definitions of angel investors and estimates of returns on angel investments vary dramatically. What can we make of this wide range of...

In questioning Kamstra, Kramer, and Levi's (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due...

Unlike the existing literature on value and growth investing, this paper takes a different point of view by conducting a "between-markets analysis." First of all, it asks whether the value premium also exists on a country level, in the sense that country indexes that are undervalued consistently...

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility dimension. The model features investors...

In this paper we examine the pricing of volatility risk using SPX corridor implied volatility. We decompose model-free total implied volatility into various components using different segments of the cross section of out-of-the money put and call option prices. We find that only model-free...

This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

We study the returns of stocks from twenty-one frontier markets divided into the four regions of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking portfolios based on market capitalization (SMB), book-to-market equity (HML), and momentum (WML) are constructed...

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...