This paper studies whether the evident statistical predictability of bond risk premia translates into economic gains for investors. We propose a novel estimation strategy for a ne term structure models that jointly fits yields and bond excess returns, thereby capturing predictive information...

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of...

This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the...

Motivated by the recognition of operational risk management as being crucial for banks and the importance of adequate reporting for enhancing market discipline, the present paper investigates operational risk disclosure practices in the 1998 to 2001 period. Whereas reporting was not mandatory at...

Using the pandemic as a laboratory, we show that asset markets assign a time- varying price to firms' disaster risk exposure. In 2020 the cross-section of realized and expected stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social...

Indien ist seit den 1990er Jahren international aufgestiegen. Die wichtigsten Ursachen dieses Erfolgs waren die Wirtschaftsreformen seit 1991 und die neuen internationalen Konstellationen nach dem Ost-West-Konflikt. Beides verschaffte dem Land in globalen Fragen deutlich mehr Gewicht. Allerdings...

This paper shows that low risk anomalies in the CAPM and in traditional factor models arise when investors require compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual coskewness, which allows us to construct...