Using a large sample of stocks from 48 developed and emerging markets, we show that the benefits of diversification persist during the global financial crisis, the coronavirus pandemic, and other hard times, demonstrating their countercyclicality. This result suggests that the benefits of...

In this study, we find some evidence in favor of systematic risk being priced in the cross-section of stock returns when the effects of presidential cycles and political environments are taken into account. During Democratic presidencies or harmonious political environments, beta has a positive...

Asset-pricing theories involve expectations whereas asset-pricing tests are almost universally performed on noisy realizations. This paper addresses this fundamental yet difficult problem to find that the noise in realized returns endogenizes the market factor, thereby causing the measured risk,...

In this paper, we investigate the impact of the interactions between presidential cycle and political environment on stock returns. We find that neither presidential cycle nor political environment has a significant impact on big firms. In contrast, we find that small firms perform significantly...

This study uses a large sample of international stocks to examine the sources of the benefits of international portfolio diversification. It finds not only that international diversification outperformed industrial diversification over the past 25 years, but also that the gains from...