This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their...

We consider a world capital market in which the investor population is heterogenous. Investors of different countries differ in the prices of goods at which they consume the income from their investments. In such a setting, the international CAPM incorporates rewards for exchange rate risk, in...

Frontmatter -- Contents -- Streetwise -- Introduction -- PART ONE: Market Behavior -- Challenge to Judgment (Fall 1974) -- The Dividend Puzzle (Winter 1976) -- The Capital Asset Pricing Model and the Market Model (Winter 1981) -- Factors in New York Stock Exchange Security Returns, 1931-1979...

We propose a new approach to identify drivers of global market integration using an advanced machine learning technique. We differentiate across economic and financial integration as well as across emerging and developed countries. Our approach allows for nonlinear relationships, corrects for...

We apply regret theory, an axiomatic behavioral theory, to derive closed-form solutions to optimal currency hedging choices. Investors experience regret of not having chosen the ex-post optimal hedging decision. Hence, investors anticipate their future experience of regret and incorporate it in...