This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well...

This study examines whether application of IFRS by non-US firms results in accounting amounts comparable to those resulting from application of US GAAP by US firms. IFRS firms have greater accounting system and value relevance comparability with US firms when IFRS firms apply IFRS than when they...

Starting from the Merton framework for firm defaults we provide the analytics and robustness of the relationship between default probabilities and default correlations. We then derive the implication of these results for the impact of macroeconomic shocks on credit portfolios, for the pricing of...

I incorporate the productivity risks into an investment-based q-factor asset pricing model. The productivity risks factors largely summarize the cross-sectional portfolio return, where the time-varying volatility plays an important role. A parsimonious q-factor model driven by productivity risks...

This paper investigates the market consequences of sovereign accounting errors. Eurostat, a division of the European Commission, issues semiannual assessments of financial reports produced by the member states of the European Union (EU), and issues reservations that detail financial reporting...

Random changes in firms' stock index membership have important implications on sell-side analysts' career outcomes. Covered firms moving from the bottom of Russell 1000 to the top of Russell 2000 significantly increase an analyst's likelihood of moving to a high-status broker or receiving a...

This paper explores the asymmetric connectedness of systemic risk between the oil and global stock markets in both the time and frequency domains. To do so, we introduce time-varying parametric vector autoregressive (TVP-VAR) spillover index models and implied volatility indices to examine risk...

We study investors' perceptions of inflation through the lens of a high-frequency event study and document that they have a stagflationary view of the world. In response to higher-than-expected inflation, investors expect firms' nominal cash flows to remain stagnant while discount rates...

We combine a customized survey and randomized controlled trial (RCT) to study the effect of higher-order beliefs on U.S. retail investors' portfolio allocations. We find that investors' higher-order beliefs about stock market returns are correlated with but distinct from their first-order...

Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have affected the supply of safe assets by buying quasi-safe bonds in exchange for truly safe reserves. We examine the pricing effects of the European Central Bank's bond purchases in...