We employ an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign equity returns. We identify the fundamental determinants of foreign equity return and foreign currency loadings with respect to the world equity factor and global currency risk...

This paper analyzes the relation between ownership concentration and corporate bond volatility. We show that increased ownership concentration is associated with higher volatility of corporate bonds. This relation is stronger among more illiquid bonds, during periods of heightened bond market...