The proper identification of the risk variables that explain the cross section of returns in emerging markets has many and far-reaching implications for both companies and investors. We examine this risk-return relationship by focusing on three families of models, over 25 years of data, and over...

The negative relationship between stock market P/E ratios and government bond yields seems to have become conventional wisdom among practitioners. Both limited empirical evidence and a misleading suggestion that the model originated in the Fed are used to support the model's plausibility. This...

The negative relationship between market P/E ratios and government bond yields seems to have become conventional wisdom among practitioners. Both (limited) empirical evidence and a (misleading) suggestion that the model originated in the Fed are used to support the model's plausibility. The...

I analyze in this article the impact of insider trading regulation (ITR) on a securities market and on social welfare, and argue the imposition of ITR forces a reallocation of wealth and risk that decreases social welfare. Three reasons explain this result: First, ITR increases the volatility of...

I analyze in this paper the impact of insider trading regulation (ITR) on a securities market and on social welfare. I argue below that the imposition of ITR forces a reallocation of wealth and risk that decreases social welfare. Three reasons explain this result. First, ITR increases the...

The assumption that daily stock returns are normally distributed has long been disputed by the data. In this article we test (and clearly reject) the normality assumption using time seriesof daily stock returns for thirteen European securities markets. More importantly, we fit to the data four...

The standard deviation, arguably the most widely-used measure of risk, suffers from at least two limitations. First, the number itself offers little insight; after all, what is the intuition behind the square root of the average quadratic deviation from the arithmetic mean return? Second,...

Do investors in emerging markets obtain their long term returns smoothly and steadily over time, or is their long term performance largely determined by the return of just a few outliers? Are investors likely to successfully predict the best days to be in and out of these markets? The evidence...