The notion of a global currency is a debate set aside in the past decade as the abstraction saw little potential for realization in a world with heterogeneous governments unwilling to sacrifice seigniorage for optimal design. The technical capability of creating digital currencies, independent...

Shocks transmitted from productivity leaders to lagging economies are systematic sources of risk. Global technology and knowledge diffusion leads to predictable patterns in productivity dynamics across countries and industries. Technology gaps determine the level of exposure to the systematic...

We derive stock returns for firms producing nonrenewable commodities by employing the investment-based asset pricing approach. By identifying the appropriate time-varying discount rate the investment-based approach allows an alternative test of the Hotelling Valuation Principle. The empirical...

Using the emerging technology of large-scale textual analysis, this study examines use of the term ‘customer satisfaction' and its variants in the annual reports issued by publicly-traded U.S. corporations and filed with the Securities and Exchange Commission as Form 10 K. We document the...

An asset pricing model is customarily evaluated by how well it explains means of returns. But how well the model explains fluctuations of returns is similarly important though often overlooked in the literature. We derive “efficient” factors that combine both objectives and turn out to...

We consider the pricing implications of screens adopted by socially responsible investors. A model including such investors reconciles the empirically observed risk-adjusted sin-stock abnormal return with a systematic “boycott risk premium” which has a substantial financial impact that is,...

Zero-investment uncovered interest parity (UIP) portfolio positions provide perfect factor-mimicking portfolios for currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average provide low returns, the currency risk premia must...

Production decisions provide a credible indicator of future costs of capital perceived by corporate insiders and so may forecast future stock returns. We find that, under decreasing returns to scale, investment returns correlate imperfectly with stock returns and that higher profitability and...