Realized covariance measures (RCs) are an essential input to assess the risks involved in different investment allocations and it is thus useful to model and forecast them. Thus, a realistic distributional assumption is essential. We compare all probability distributions hitherto applied to...

We develop a measure of how information events impact investors' expectations of risk. The measure is broadly applicable and simple to implement. We derive it from an option-pricing model, where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Rational outcomes of a social system do not necessarily require its individual par-ticipants to be rational. In macro systems, aggregate properties distinct from the behavior of their micro level components can emerge through complex interactions. Caution in building social sciences on...

Since the 1980s, interest rates have declined in many of the world’s advanced economies. Concurrently, capital’s share of income and both income and wealth inequality have risen. Although there is a growing literature on the relation between monetary policy and inequality, no study has...

We employ an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign equity returns. We identify the fundamental determinants of foreign equity return and foreign currency loadings with respect to the world equity factor and global currency risk...

This study examines the Pastor-Stambaugh liquidity-augmented four-factor model to revisit whether the marketwide liquidity is indeed a state variable important for asset pricing in the U.S. equity market over the period 1/1966-12/1999. The study applies the Lewellen et al. (2010) two-pass...

Investments in information technologies (IT) and skilled labor are often highlighted as central for firms wishing to improve their performance. However, what mechanisms enable these investments to improve firm performance? The literature suggests two such channels: the production frontier of...

The security analysis and portfolio management has emerged as the most concerned aspect for rational investment and decision making. Portfolio is a combination of securities such as stocks, bonds and money market instruments. The process of blending together the broad assets classes so as to...

Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...