Individual environmental variables may contain information that is obscured in aggregate environmental scores when forecasting future stock returns. We apply machinelearning methods to granular environmental variables and show that a long-short portfolio that longs stocks with high forecasted...

This paper identifies a sharp decline in the volatility of consol prices after the end of the Napoleonic wars in 1815. The volatility of consol returns drops by more than half after 1815 and our empirical testing confirms a long period of remarkable stability that includes the entire Victorian...

Two series of German bonds, issued in 1924 and 1930, traded on the London Stock Exchange throughout Hitler's 1933-45 regime in Germany. We isolate both structural breaks and turning points in these bond series. Major turning points follow Hider's reintroduction of conscription in 1935, the...

Individual environmental variables may contain information obscured in aggregate environmental scores for return forecasting. We apply machine learning methods to granular environmental variables and find that a long-short portfolio that longs stocks with high forecasted returns and sells stocks...

Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has been less emphasis on the importance of underlying economic and political stability. In this paper we study the behavior of consol returns since 1729 and identify a...

Research on information economics and securities markets dating back to Stigler (Journal of Political Economy, 69 (1961), 213-225; Journal of Business, 37 (1964), 117-142) argues that trading will tend to centralize in major market centers such as the New York Stock Exchange (NYSE). The NYSE's...

Sponsors of defined contribution retirement plans typically limit the investment choices of plan participants to a small number of investment managers and a limited number of investment vehicles. Such restrictions may limit excessive risk-taking by participants but also may preclude...