Using an event study approach at the stock level, we examine the effect of North Atlantic hurricanes on U.S. stock returns over the period January 1990 to December 2014. We document a substantial economic impact of hurricanes on the aggregate market: an accumulated loss of 0.522% (6.264%...

The ban on short selling exacerbated the asymmetry of the return distribution of the stocks subject to it, and did nothing to limit the extreme variations in their returns. Their volatility increased substantially more than that of the market as a whole. At the same time, and partly as a result...

We analyze the effects of asset return predictability at various horizons on an individual's portfolio strategy and welfare gains as measured by a certainty equivalent return rate, for long term investors. We use a method to account for long horizon predictability that does not make violence to...

In a seminal contribution, Campbell (1996) [Campbell, J., 1996, Understanding Risk and Return, Journal of Political Economy 104(2), 298-345] proposed a methodology based on a VAR(1) process to test Merton's Intertemporal CAPM. Innovations in predictors of portfolio returns are estimated and used...