We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-ouwenhorst (1994) model. We then...

Relative purchasing power parity (PPP) holds for pure price inflations, which affect prices of all goods and services by the same proportion, while leaving relative prices unchanged. Pure price inflations also affect nominal returns of all traded financial assets by exactly the same amount....

REITs offer a natural experiment in corporate governance due to the fact that they leave little free cash flow for management, which reduces agency problems. We exploit a unique and leading corporate governance database to test whether corporate governance matters for the performance of U.S....

The economic significance of the tax on cross-border dividends depends on the limits to dividend arbitrage. In the case of Canadian payments to the U.S. we observe these limits exactly because we see the actual pricing of the dividend-arbitrage transactions. These transactions recover only some...

Calling contagion the dependence in the probability of occurrence of extreme returns across different hedge fund styles and asset classes that cannot be explained by correlation, we find no systematic evidence of contagion between monthly returns on eight hedge fund styles and equity, bond, and...

This paper provides an empirical analysis of the financial structure of large recent buyouts. We collect detailed information of the financings of 153 large buyouts (averaging over $1 billion in enterprise value). We document the manner in which these important transactions are financed. Buyout...

In this paper we examine the value-relevance of geographical earnings disclosures for firms listed and domiciled in Australia, Canada and the United Kingdom. We find that foreign earnings in all three countries are valued differently than domestic earnings. The estimate of the association...

We develop and test a theory to explain the variation in institutional ownership, analyst following and share price levels across firms. In addition to analysts that generate information about firms, our model incorporates the possibility that institutions can monitor the firms they own and...

This paper discusses the role of risk management and corporate governance as causal factors in the onset of the financial crisis. The downturn in the housing and mortgage markets precipitated the first phase of the financial crisis in August 2007 when the solvency of a number of large financial...