This paper investigates the reaction of credit default swaps spreads to changes in rating class, outlook, and watchlist entries for sovereigns. We find a stronger response to negative outlook and watchlist changes than for actual rating class downgrades, which shows that negative outlook and...

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

Value premium varies substantially across countries. We explore whether the inter-country cross-sectional variation in value premium can be predicted by those variables known to predict the intra-country time-variation in value premium. After examining data from 23 developed markets and 13...

Fractional trading (FT)—the ability to trade less than a full share—allows low-budget retail investors to trade high-priced stocks. This paper quantifies FT's impact on retail ownership and trading of high-priced stocks by exploiting its sequential introduction at four brokerage firms since...

We examine the role of the vaccine initiation rate in mitigating the international stock market volatility during COVID-19. Our findings reflect that the positive effect of the vaccine initiation rate assists in stabilizing the international stock markets. This possible effect is stronger for...

This paper sheds light on the impact of public attitudes towards climate change and energy disruption on the pricing of emission (carbon-intensive) and clean (low-emission) stocks. We develop a regional indicator of worries about climate change and energy disruption using data from the European...

Using the multivariate quantile model, this paper develops a global economic policy uncertainty (EPU) spillover measure for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across a sample of 23 economies. The regression results show...

Companies face significant carbon-transition risk as the global economy works to combat climate change. This paper studies the market-based premium associated with the carbon-transition risk globally and finds that firms with more carbon-intense business models earn higher returns in recent...

We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital International (MSCI) global indices and find that stocks that would be included in the MSCI global indices earned significantly positive abnormal returns when the inclusion plan was first...

Political uncertainty drives markets. Among macroeconomic forces, it is one of the fewfactors that systematically affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We employ static and conditional factormodels using data in...