It is not surprising to see that firms that have more socially responsible actions (“good” firms) are rewarded by a higher market return of 3% per calendar year compared to firms that do not engage in socially responsible or irresponsible actions (“neutral” firms). On the contrary, firms that are more socially irresponsible (“bad” firms) are not penalized by a negative return compared to “neutr...

A common component in the mispricing of ETFs can arise from limits to arbitrage. I find strong evidence of commonality among of international country ETFs. Differences in systematic risk between an ETF and its underlying index can explain some of this effect. While non-synchronicity alone cannot explain it, it does amplify the effect. I then investigate whether this commonality can be a channel...

Mispricing of international trade in natural resources contributes to significant tax base erosion from developing countries but is difficult measure using aggregate statistics. In this paper, we apply a novel approach motivated by legal rules for and transfer mispricing estimate abnormal pricing gold cocoa exports Ghana, i.e., valued outside an assumed arm's length price range that indicates f...

Abstract We find that countries able to borrow at spreads seem low given fundamentals (e.g., because investors are bullish regarding the country’s future) more likely develop medium-term difficulties. establish this by regressing on fundamentals. Subsequently deploying first-stage residuals in a second-stage regression suggests an optimistic sentiment reduces growth medium term while increasing...

The paper shows that controlling for the aggregate volatility risk factor eliminates the puzzling negative relation between variability of trading activity and future abnormal returns. I find that variability of other measures of liquidity and liquidity risk is largely unrelated to expected returns. Lastly, I show that the low returns to firms with high variability of trading activity are not e...