Using analysts' estimates of political risk, we show that political risk represents a more important determinant of stock returns in emerging than developed markets. Average returns in emerging markets experiencing decreased political risk exceed those of emerging markets experiencing increased...

Book-to-market ratio (BE/ME), market equity (ME), and one- year past return (momentum) (MOM) help explain the cross- section of expected individual stock returns within the U.S. and within other countries. Examining equity markets as a whole, in contrast to individual stocks, we uncover strong...

Using analyst estimates of political risk, we show that political risk represents a more important determinant of stock returns in emerging than developed markets. Average returns in emerging (developed) markets experiencing decreased political risk exceed those of emerging (developed) markets...

Using live trade execution data from an institutional money manager, we measure the real-world costs and challenges a trader faces when demanding significant liquidity of Bitcoin. We provide a novel characterization of the market to purchase digital assets across exchanges and over-the-counter...

Better proxies for the information about future returns contained in firm characteristics such as size, book-to-market equity, cash flow-to-price, percent change in employees, and various past return measures are obtained by breaking these explanatory variables into two industry-related...

We define “deep value” as episodes where the valuation spread between cheap and expensive securities is wide relative to its history. Examining deep value across global individual equities, equity index futures, currencies, and global bonds provides new evidence on competing theories for the...