We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing non-oil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity returns. The fit is...

We propose that general purpose technologies (GPTs) — a class of technologies that have pervasive impacts on the economy and spill over across countries — are a source of non-diversifiable technology risk in international stock markets. We construct an empirical GPT factor from patent data...

We propose that corporate social responsibility (CSR) serves as an intangible investment in stakeholder relationships to guard against external disruptions. Using a stylized model with customers' and employees' preferences for CSR, we hypothesize that CSR investment, while costly, helps firms...

We carry out a large-scale investigation of the out-of-sample profitability of in-sample profitable carry trade strategies, using foreign exchange data for 48 countries spanning a period from 1983 to 2015 and employing reality check and stepwise tests to correct for data-snooping bias (the...

We examine how financial market development affects technological innovation. Using a large data set that includes 32 developed and emerging countries and a fixed effects identification strategy, we identify economic mechanisms through which the development of equity markets and credit markets...