I present an improved equity momentum measure for corporate bonds and study the Euro denominated global investment grade corporate bond market between 2000 and 2016. I document economically meaningful and statistically significant corporate bond return predictability. In contrast to the widely...

This paper examines the performance of Institutions, Foreigners and Individuals in Emerging Markets. We find that Local institutions produce better outcomes than both foreigners and local individuals on all performance measures. Comparing local individuals with foreigners we find that local...

I use industry-level returns in foreign markets to examine the hypothesis that value-relevant foreign information slowly diffuses into the stock prices of U.S. multinational firms. A trading strategy that exploits foreign information generates abnormal returns of 0.8% monthly. I find that the...

We find that active global mutual funds in the U.S. can use foreign information to select U.S. multinationals’ stocks. To invest internationally, these funds collect information from the foreign countries where they invest. Such foreign information helps funds invest in U.S. multinationals...

The article proposes to apply the global CAPM instead of the traditional CAPM (local CAPM) used in the practice of enterprise valuation, because the increasing integration of capital markets requires a model with an international context and the local CAPM only assumes an exclusively national...

Using the monthly returns of 37,854 firms in 23 developed markets over the period 1990-2015, we document that multinational companies earn higher returns than domestic companies by 24 basis points per month. This finding is further confirmed by using a sample of 18,996 U.S. firms over the period...

We investigate the pricing of market volatility risk as a risk factor – the innovation risk and as a characteristic risk – the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust across 21 developed markets and that the global market...