This paper investigates whether business cycles cause financial cycles or vice versa. We also assess whether the US plays a leading role in causing the domestic business and financial cycles of other countries. The literature has established that business and financial cycles are linked through...

This paper examines the role of the market state in predicting asset pricing anomalies. We find that the sign, size, and significance of anomaly returns depend crucially on whether they follow a positive or negative market excess return. The predictive power of the negative market state is...

We introduce robust kurtosis, which is a new quantile-based measure for the kurtosis of stock returns. For approximately normal distributions, robust kurtosis is equivalent to the traditional moment-based kurtosis. For fat-tailed distributions, when kurtosis matters the most, robust kurtosis...

We assess the empirical relation between firm gross profitability and reported carbon emission intensity. Using data on S&P 500 firms, we find that the cross-sectional relation between profitability and carbon emission intensity is strongly negative: firms with high carbon emission intensity...

The rate of capital gains of the market portfolio is vastly more volatile than the dividend yield. As a result, standard CAPM betas capture exposure only to market capital gains. We propose a two-factor CAPM that includes a separate market dividend yield factor and find that this factor carries...

This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premiums on monthly exchange-rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical...

This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>I assess the economic gains of strategies that account for the effect of holiday calendar effects on the daily returns and volatility of the 30 stocks in the Dow Jones Industrial Average index. The dynamic strategies use forecasts from stochastic volatility models that distinguish...