This dissertation analyzes how asset performance relates to inflation based on 50 countries and 60 years of data. The three key findings are: a nonlinear behavior of bills, bonds, and equities against inflation, the demystification of listed infrastructure as inflation hedge, and, finally, a...

We test the Fama-French three-factor model for a large international data set using an alternative proxy for expected returns - the implied cost of capital (ICC). The implied risk premiums of the three factors are all highly significant. Also, the cross-country variation of each of the three...

Previous literature shows inconclusive results regarding the relation between Corporate Social and Environmental Responsibility (CSR and CER) and expected returns. We argue that the reason for these mixed results is that the sustainability premium, i.e., the return difference of high-intensity...