Through globalization and financial market liberalization, the opening up of markets has
increased cross-border investments as investors search for higher risk-adjusted returns. This …

This paper deals with the estimation of the risk–return trade-off. We use a MIDAS model for
the conditional variance and allow for possible switches in the risk–return relation through a …

This paper evaluates the effects of high‐frequency uncertainty shocks on a set of low‐
frequency macroeconomic variables representative of the US economy. Rather than …

This paper gives new insights about flight-to-safety from stocks to bonds, asking whether the
strength of this phenomenon remains the same in the current environment of low yields. The …

Purpose–The purpose of this paper is to suggest that in the arena of human capital, risk-
mitigation may overshadow risk-optimized decisions, and show how a more balanced …

We study an economy with incomplete information in which two agents are uncertain and
disagree about the length of business cycles. That is, the agents do not question whether the …

This paper proposes a two-state predictive regression model and shows that stock market
12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and …

In the data, stock market volatility negatively predicts short-run equity and variance risk
premia, at odds with leading asset pricing models. I show that infrequent large volatility …

Investigations of the basic risk-return trade-off for the market return typically use maximum
likelihood estimation (MLE) with a monthly or quarterly horizon and data sampled to match …

This paper explores two puzzling phenomena about aggregate stock market behavior: the
weak mean–variance (risk-return) relation and return autocorrelation. Existing literature …