firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find … that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical … uncertainty outperform their counterparts with the lowest change by up to 1% per month. The anomaly is not explained by other …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …