Department: Economics.

This paper investigates whether the size and book-to-market factors of Fama and French (1993) proxy for the risks associated with business cycle fluctuations. We find that changes in default spread (Δ<italic>def</italic>) and changes in term spread (Δ<italic>term</italic>) capture the systematic differences in average returns...

The economy of the Republic of Korea was hit harder than anticipated by the global financial crisis. In the first phase, large capital outflows led to a severe liquidity strain in the foreign exchange market resulting in a rapid depreciation of the exchange rate. Then, in the second phase, the...

The expert contributors compare the recent crisis with earlier crises, explore international aspects of the crisis from the perspectives of financial markets and trade, and examine macroeconomic policy responses. In so doing, they address important questions including: How did this crisis differ...

Building on a model of corporate investment under collateral constraints, we develop and test a hypothesis on the differential effect of debt capacity on stock returns across financially constrained and unconstrained firms. Consistent with the hypothesis, we find that debt capacity is a...