Cybersecurity breaches may be correlated due to geography, similar infrastructure, or use of a third-party contractor. We show how a copula model may be used to estimate the probability of an attack where breaches may be correlated among firms. Losses arising from cybersecurity breaches have an...

We provide new evidence on the economic benefits to mutual fund families from having a portfolio of funds with diversified investor fund flows. We show that diversified fund families enjoy greater stability of assets under management, and experience significantly lower net cash outflows during...

The proliferation of anomalies and the resulting `factor zoo' has challenged finance researchers to identify firm characteristics that are genuinely related to the cross-sectional variation in expected stock returns. We address this challenge using a Bayesian ensemble of trees approach, namely,...

This paper re-examines the tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM). The null that the CAPM intercepts are zero is tested for ten size-based stock portfolios and for twenty five book-to-market sorted portfolios using five-year, ten-year and longer sub-periods during...