U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Using data from 46 countries, we find that the average stock return during earnings...

Using firm-level data from 23 developed markets, we document a positive association between overall firm-level governance quality and the informativeness of earnings announcements measured by abnormal stock return variance. This finding is robust after controlling for the potential endogeneity...

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...

Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility is high produce large alphas, increase Sharpe ratios, and produce large utility gains for mean-variance investors. We extend this literature by investigating the profitability...

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...