What determines a country's financial immunity to a global pandemic? To answer this
question, we investigate the behavior of 67 equity markets around the world during the …

The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …

Using a news-based gauge of geopolitical risk, we study its role in asset pricing in global
emerging markets. We find that changes in risk positively predict future stock returns. The …

There is a wealth of literature on how integrated stock markets are, but very few studies
attempts to determine why stock markets are integrated. However, it is arguably even more …

We are the first to demonstrate the decline in the cross-sectional predictability of country and
industry returns in recent years. We examine 53 anomalies in country and industry indices …

Regulatory changes, currency devaluations, failed economic plans, coups, and other
national financial shocks are notoriously difficult to predict, and may have disastrous …

Leading economic indicators assist in forecasting future business conditions. Can they also
predict aggregate stock returns? To answer this question, we examine six decades of data …

Using the change in the real effective exchange rate (REER) to reflect trade
competitiveness, we examine its role in the cross-section of global equity returns. The …

The behavioral finance view of anomalies suggests that mispricing stems from investor
irrationality that could not easily be arbitraged away. We test the implications of this concept …

This study is the first to examine the relationship between business sentiment and future
equity returns in the cross-section of countries. We demonstrate that high-sentiment markets …