We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many countries, the level of segmentation remains significant in emerging markets. We characterize the factors that account for variation in market segmentation...

We propose an exogenous measure of a country's growth opportunities by interacting the country's local industry mix with global price to earnings (PE) ratios. We find that these exogenous growth opportunities predict future changes in real GDP and investment in a large panel of countries. This...

In this paper, we investigate the implications of non-separable preferences over durable and nondurable consumption for asset pricing tests when adjusting durable consumption is costly. In an economy without adjustment costs, in which a frictionless rental market exists for the durable good, the...

We empirically examines the financial portfolio choice of households as a function of their exposure to real estate risk as a possible background risk. Using Panel Study of Income Dynamics data from 1984 to 2001, our estimation results control for sample selection and unobservable time-invariant...

This study examines empirically whether individuals consider their perceptions of potential counterparties' trustworthiness when deciding to transact in an environment with extensive contract enforcement mechanisms. This is a non-trivial empirical question because, as observed by Carlin,...

We measure a country's growth opportunities by investigating how its industry mix is priced in global capital markets, using price earnings ratios of global industry portfolios. We derive three sets of empirical results. First, these exogenous growth opportunities strongly predict future changes...

We successfully replicate the main results of Ang, Hodrick, Xing, and Zhang (2006): Aggregate-volatility risk and idiosyncratic volatility (IV) are each priced in the cross-section of stock returns from 1963 to 2000. We also examine the pricing of volatility outside the original time period and...

We examine the formation and evolution of corporate risk culture, i.e., the preferences towards risk and uncertainty shared by a firm's leaders, as well as its effect on corporate policies. We document persistent commonality in risk attitudes inside firms, which arises through the selection of...