We investigate the relation between downside beta and stock returns in a global context using more than 170 million daily return observations. Contrary to the findings in the U.S. equity market, we show that downside beta does not explain the cross-sectional differences in future and...

This paper reexamines the relation between various downside risk measures and future equity returns in a global context that spans 26 developed markets. We find that there is no significantly positive relation between systematic downside risk and the cross-section of equity returns, and in fact,...

This paper investigates the significance of an intertemporal relation between expected return and risk for the futures markets. The paper not only takes a look at the domestic futures, but the relationship between conditional risk and return is examined in international futures markets as well....

This paper investigates whether equity indices of 24 emerging and 28 developed markets compensate their investors equally after taking risk into account, and examines the predictive power of reward-to-risk ratios for expected market returns. We place special emphasis on downside risk by...

This paper examines the existence of mood seasonality, documented by Hirshleifer et al. (2020, JFE) for the cross-section of US equity returns, in an international setting. First, we confirm the results of the original study. Next, we extend these findings to non-US markets and show that a...

This paper utilizes an international context and revisits the findings which argue that the positive relation between book-to-market ratio and future equity returns is driven by historical changes in firm size in the US. After confirming these results in the US setting both in the original and a...