Often researchers find parametric models restrictive and sensitive to deviations from the
parametric specifications; semi-nonparametric models are more flexible and robust, but lead …

Publisher Summary This chapter focuses on two puzzles related to international financial
markets. The first puzzle concerns explanations for deviations from uncovered interest parity …

We use deep neural networks to estimate an asset pricing model for individual stock returns
that takes advantage of the vast amount of conditioning information, keeps a fully flexible …

Most empirical studies of the static CAPM assume that betas remain constant over time and
that the return on the value‐weighted portfolio of all stocks is a proxy for the return on …

We propose a measure of capital market integration arising from a conditional regime‐
switching model. Our measure allows us to describe expected returns in countries that are …

Economists have long recognized that investors care differently about downside losses
versus upside gains. Agents who place greater weight on downside risk demand additional …

This article characterizes the systematic risk exposures of hedge funds using buy-and-hold
and option-based strategies. Our results show that a large number of equity-oriented hedge …

This article examines whether country-specific or global versions of Fama and French's
three-factor model better explain time-series variation in international stock returns …

This paper investigates nonlinear pricing kernels in which the risk factor is endogenously
determined and preferences restrict the definition of the pricing kernel. These kernels …

We investigate predictability in national equity market returns, and its relation to global
economic risks. We show how to consistently estimate the fraction of the predictable …