This study provides empirical support for recent theoretical models that allow for time-varying rare disaster risk. Using a unique database of 447 international political crises during the period 1918–2006, we create a crisis index that shows substantial variation over time. We show that...

This paper investigates the impact of state ownership on exposure of Chinese firms to economic policy uncertainty (EPU). We present strong and robust evidence that firm-level economic policy uncertainty exposure is positively related to proportion of state ownership. Furthermore, we identify...

Derivatives are set to hedge underlying-assets risks, but what firm-specific factors determine the use of derivatives are yet conclusively discovered. Using 308 manually collected annual reports from the listed companies and a logit regression model, this paper investigates the determinants...

Cross sectional return dispersion seems a simple, good, real time gauge of uncertainty. Internationally, cross-sectional return dispersion correlates strongly with all sorts of measures of macroeconomic and political uncertainty like, (global) recessions, international political crises, country...

We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...