In order to identify the economic driver of negative investment-cash flow sensitivities (ICFS), we derive testable predictions from extending a theoretical investment model with endogenous financing costs ("revenue effect") and contrast them with the corporate life-cycle hypothesis. We find that...

We examine the predictive power of global financial price-to-fundamental ratios for future stock returns in a panel of major developed countries. By disentangling global and local information, we find the global component to be at least equally important and that its importance has increased in...

Taking the perspective of international asset allocation, this paper tests if predictive regressions conditional on time-series and cross-sectional information can improve forecasts of stock index returns. We use different current price-to-fundamental ratios as predictors and condition the...

This article provides a portfolio optimization approach that takes into account extreme events. By merging a (downside only) panic copula with the empirical marginal distributions, panic-awareness is attained for the optimization process. This approach includes the likelihood of highly...