This paper empirically studies whether people and investors globally really see climate change as a major threat, as defined by United Nations Framework Convention on Climate Change. Our identification strategy aims to investigate two research questions: (1) whether people attention to Climate...

In this paper we examine whether mutual fund managers around the world are able to implement synchronization strategies with respect to different investment styles, a fundamental aspect in the efficient management of an investment portfolio. We also analyze the skills of these managers to...

We investigate and quantify the relationship between agricultural commodities and ocean-going freight rates, using a weekly dataset from 2010 to 2019 and a Vector Error Correction Methodology. The results are firstly supportive of the view that vessel classes are highly interconnected, and...

Investors invest in a foreign market to reap the benefits of currency differences. The change in the value of underlying assets affects these hedged funds and, at the same time, restricts investors from higher return possible in unhedged funds. This study aims to examine the performance of most...

In the U.S., over 1873-2014, an increase in bank credit is associated with a lower risk of a financial crisis in the near future. Bank credit expansion predicts lower excess returns and volatility for the aggregate stock market, and this predictive relation varies in the cross-section and is...

This paper documents a significant time-series momentum effect that is consistent and robust across all examined conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in developed and emerging markets, but this is no longer the...

This study reexamines the long-term reversal anomaly across international stock market indices. We investigate a comprehensive and up-to-date sample of 74 countries for years 1995-2015. By controlling for country-level value, size and momentum effects, we provide convincing evidence that the...

In this paper, we investigate the effects of international cross-listings on commonality in liquidity. We find that cross-listings have asymmetric effects on cross-listed stocks' liquidity commonality that include reducing the stocks' liquidity commonality with the local market and increasing...

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

The paper concentrates on the value premium across countries and contributes to the nvestment and asset pricing literature in three ways. First, I provide fresh evidence that the high-value countries perform significantly better than the low-value countries. Additionally, this phenomenon is...