This paper implements an algorithm that can be used to solve systems of Black-Scholes equations for implied volatility and implied risk-free rate of return. After using a seemingly unrelated regressions (SUR) model to obtain point estimates for implied volatility and implied risk-free rate, the...

We examine how trade policy uncertainty is reflected in stock returns. Our identification strategy exploits quasi-experimental variation in exposure to trade policy uncertainty arising from Congressional votes to revoke China's preferential tariff treatment between 1990 and 2001. More exposed...

A recent literature has documented large real effects of trade policy uncertainty (TPU) on trade, employment, and investment, but there is little evidence that investors are compensated for bearing such risk. To quantify the risk premium associated with TPU, we exploit quasi-experimental...

We examine how trade policy uncertainty is reflected in stock returns. Our identification strategy exploits quasi-experimental variation in exposure to trade policy uncertainty arising from Congressional votes to revoke China's preferential tariff treatment between 1990 and 2001. More exposed...

The relative strength of the U.S. dollar does not explain the cross-section of expected returns. We find, however, that signed sensitivity of individual firms' returns to moves in dollar strength matters for asset pricing. A portfolio that goes long high-dollar-sensitivity stocks and short...

We analyze the role of government intertemporal budget policies in a growing open economy including nominal assets in the presence of an upward sloping supply of debt. This introduces transitional dynamics that influence the effects of government policy instruments on the long term fiscal...

This paper analyzes the international transmission of tax shocks in a two-country infinite-horizon representative agent framework. In analyzing such shocks, the viability of the underlying tax regimes, arising from the arbitrage conditions characterizing equilibrium in a perfect world capital...

This paper presents empirical evidence supporting the view that US monetary conditions matter for firms in the global capital market. We show the effects of three risk measures, domestic bank interest rates spreads, US bank interest rates spread, and US market price of interest rate risk on the...

We analyze panel data for the worldwide commodities sector using a sample of 6,323 firms from 69 countries with annual observations from 1999 to 2010. The effect of return on equity on market-to-book is time-varying and declining across the years in the sample. First, there is positive and...