This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...

We present two valuation models that we use to account for the annual data on price per share and dividends per share for the CRSP Value-Weighted Index from 1929-2023. We show that it is a simple matter to account for these data based purely on a model of variation in the expected ratio of...

This paper studies the transmission of monetary policy to the stock market through investors' discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China, and...

We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks. We use almost a three-quarter century of real GDP growth expectations from economists' surveys to determine forecasted economic states. This approach largely...

This paper studies the interplay between environmental performance and financial valuation of firms in Latin America and the Caribbean. We provide insights into how environmental considerations are integrated into financial decision-making and investor behavior by analyzing the stock market...

We propose a new framework to explain the factor structure in the full cross section of Treasury bond returns. Our method unifies non-parametric curve estimation with cross-sectional factor modeling. We identify smoothness as a fundamental principle of the term structure of returns. Our approach...

This study investigates the relationship between stock liquidity and frm innovation for publicly traded growing small and medium-sized enterprises (SMEs) in China using both innovation input and output. We collected samples of 785 SMEs from China's Shenzhen Growth Enterprises Market without the...

We propose a novel way to study asset prices based on price distortions rather than abnormal returns. We derive the correct identity linking current mispricing to subsequent returns, generating a price-level analogue to the fundamental asset pricing equation used to study returns. Our GMM test...

This paper relates valuation ratios to future markups in a present-value framework for total firm assets. Expected future cash flows explain the majority of the cross-sectional variance of firms’ asset market-to-book ratio, while asset discount rates only account for a relatively small...

We investigate how the accounting treatment of intangible assets on managers' likelihood of issuing voluntary earnings guidance (MEF). We find that unrecognized intangibles (immediately expensed) are negatively associated with MEF issuance, while recognized intangibles (capitalized) show a...