We show that the dynamics of Bitcoin (BTC) price are strongly influenced by the level of global geopolitical risk. Indeed, a number of well established stylized facts about BTC cease to be true when we condition the evolution of BTC returns on the GPR index. In particular, we find that when...

Using an event study approach at the stock level, we examine the effect of North Atlantic hurricanes on U.S. stock returns over the period January 1990 to December 2014. We document a substantial economic impact of hurricanes on the aggregate market: an accumulated loss of 0.522% (6.264%...

When treated as a characteristic, there seems to be an ESG anomaly. A real time investor is better off when augmenting an otherwise standard investment universe with two ESG portfolios of irresponsible and responsible firms. Out of sample, the optimal portfolio including the ESG portfolios...

Hurricanes give rise to flight-to-safety episodes during which High Tech stocks consistently behave differently from stocks in other industries. We isolate a safety premium of 3.75\% which peaks at 16% annualized for periods of 20 days after landfall. The safety premium is greater than the short...