We develop a classification methodology for the context and content of news articles to
predict risk and return in stock markets in 51 developed and emerging economies. A …

We provide a comprehensive account of the evolution of the currency composition of
sovereign and corporate external borrowing by emerging markets from 2003 to 2017. We …

While global stock markets enjoy high returns on days surrounding Federal Open Market
Committee (FOMC) meetings, there is no comparable result for other central banks either …

An increase in a country's sovereign risk, as measured by credit default swap spreads, is
accompanied by a contemporaneous depreciation of its currency and an increase of its …

We develop a novel method to dynamically hedge foreign exchange exposure in
international equity and bond portfolios. The method exploits the time-series predictability of …

We propose an estimation methodology tailored for large unbalanced panels of individual
stock returns to study the factor structure and expected returns in international stock markets …

We use 10-K filings to construct novel text-based measures of the extent to which US firms
are exposed to three offshore activities: the sale of output, purchase of input, and ownership …

We examine the ability of existing and new factor models to explain the comovements of
G10 currency changes, measured using “currency baskets.” A clustering technique reveals a …

Does the provision of leverage to retail traders improve market quality or facilitate socially
inefficient speculation that enriches financial intermediaries? We evaluate the effects of …

A stronger US fiscal condition predicts a higher excess return on the dollar against foreign
currencies in the following year, and more so against foreign currencies with higher dollar …