00540nas a2200133   4500008004100000245009100041210006900132260000900201653001200210100001700222700001500239700002700254856012500281       2020                        eng d00aEarnings conference calls and institutional monitoring: Evidence from textual analysis0 aEarnings conference calls and institutional monitoring Evidence   c202010aFinance1 aBerger, Dave1 aCao, Xueli1 aPukthuanthong, Kuntara  u/biblio/earnings-conference-calls-and-institutional-monitoring-evidence-textual-analysis00390nas a2200121   4500008004100000245004200041210004000083260000900123653001200132100001700144700002700161856008000188       2016                        eng d00aFragility, stress, and market returns0 aFragility stress and market returns  c201610aFinance1 aBerger, Dave1 aPukthuanthong, Kuntara  u/biblio/fragility-stress-and-market-returns00492nas a2200133   4500008004100000245006400041210006100105260002000166653001200186100001700198700001800215700002700233856009800260       2016                        eng d00aOn valuing human capital and relating it to macro variables0 avaluing human capital and relating it to macro variables  aLas Vegasc201610aFinance1 aBerger, Dave1 aRoll, Richard1 aPukthuanthong, Kuntara  u/biblio/valuing-human-capital-and-relating-it-macro-variables01135nas a2200169   4500008004100000245002200041210002200063260000900085300001000094490000700104520072700111653001200838100001700850700001800867710001800885856006200903       2015                        eng d00aSentiment Bubbles0 aSentiment Bubbles  c2015  a59-740 v233 aWe examine cumulative changes in investor sentiment and find that these changes relate to extended periods of increasing overvaluation, followed by price corrections. The relation between sentiment and returns is path dependent—short-term increases in sentiment precede strong positive returns, while prolonged periods of increasing sentiment precede negative returns. Positive short-run returns are consistent with bubble dynamics and mitigate the backwards induction conundrum described by Abreu and Brunnermeier (2003). Our results hold for the market portfolio, and are especially strong for opaque portfolios with high levels of uncertainty, as well as portfolios with greater market frictions that limit arbitrage.10aFinance1 aBerger, Dave1 aTurtle, Harry1 aEmptyAuthNode  u/biblio/sentiment-bubbles00624nas a2200157   4500008004100000245012700041210006900168260000900237300001000246490000700256653001200263100001700275700002700292700001600319856013100335       2013                        eng d00aIs the diversification benefit of frontier markets realizable by mean-variance investors? The evidence of investable funds0 adiversification benefit of frontier markets realizable by meanva  c2013  a36-480 v3910aFinance1 aBerger, Dave1 aPukthuanthong, Kuntara1 aYang, Jimmy  u/biblio/diversification-benefit-frontier-markets-realizable-mean-variance-investors-evidence-001071nas a2200145   4500008004100000245004500041210004500086260000900131300001200140490000700152520065200159653001200811100001700823856008500840       2013                        eng d00aFinancial turbulence and Beta estimation0 aFinancial turbulence and Beta estimation  c2013  a251-2630 v233 aI use Mahalanobis distance based on investment opportunity variables to define turbulent periods within financial markets. The distance measure identifies periods of event-driven stress, and not necessarily low returns. CAPM betas estimated from normal sample periods explain vary little variation in cross-sectional returns. However, betas estimated from turbulent subperiods explain a large proportion of full-sample returns. Market betas for small and value portfolios increase during turbulent periods, indicating that the risk of these portfolios is greater than indicated by standard betas, and suggesting an explanation for these anomalies.10aFinance1 aBerger, Dave  u/biblio/financial-turbulence-and-beta-estimation01069nas a2200157   4500008004100000245008700041210006900128260000900197300001400206490000700220520051000227653001200737100001700749700002100766856012400787       2012                        eng d00aCross-sectional performance and investor sentiment in a multiple risk factor model0 aCrosssectional performance and investor sentiment in a multiple   c2012  a1107-11210 v363 aThe impact of investor sentiment on stock prices varies in the cross-section. We estimate sentiment sensitivities and find that sentiment-prone stocks exhibit the opaque characteristics hypothesized by Baker and Wurgler (2006). We then examine conditional alphas using investor sentiment as an information variable. Opaque stocks exhibit marginal performance that varies inversely with investor sentiment. Translucent stocks exhibit relatively little variability in performance across levels of sentiment.10aFinance1 aBerger, Dave1 aTurtle, Harry, J  u/biblio/cross-sectional-performance-and-investor-sentiment-multiple-risk-factor-model-001126nas a2200157   4500008004100000245005400041210005400095260000900149300001200158490000800170520063800178653001200816100001700828700002700845856009600872       2012                        eng d00aMarket fragility and international market crashes0 aMarket fragility and international market crashes  c2012  a565-5800 v1053 aWe extend the Pukthuanthong and Roll (2009) measure of integration to provide an estimate of systemic risk within international equity markets. Our measure indicates an increasing likelihood of market crashes. The conditional probability of market crashes increases substantially following increases of our risk measure. High levels of our risk measure indicate the probability of a global crash is greater than the probability of local crash. That is, conditional on high levels of systemic risk, the probability of a severe crash across multiple markets is larger than the probability of a crash within a smaller number of markets.10aFinance1 aBerger, Dave1 aPukthuanthong, Kuntara  u/biblio/market-fragility-and-international-market-crashes-001075nas a2200145   4500008004100000245005600041210005600097260000900153490000700162520061200169653001200781100001700793700002100810856009800831       2011                        eng d00aEmerging market crises and US equity market returns0 aEmerging market crises and US equity market returns  c20110 v223 aWe find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of contagion in aggregate excess US market returns, indicating studies that focus on national aggregates may miss important within market dynamics during emerging market crises. The international dynamics that we document have important implications for investors, even when they may have limited global exposure.10aFinance1 aBerger, Dave1 aTurtle, Harry, J  u/biblio/emerging-market-crises-and-us-equity-market-returns-001198nas a2200169   4500008004100000245005600041210005600097260000900153300001200162490000800174520068100182653001200863100001700875700002700892700001600919856009300935       2011                        eng d00aInternational diversification with frontier markets0 aInternational diversification with frontier markets  c2011  a227-2420 v1013 aWe provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit consistent rates of changing integration. Structural break tests identify breakpoints in integration, as well as integration dynamics across countries. We show that frontier markets have low integration with the world market and thereby offer significant diversification benefits.10aFinance1 aBerger, Dave1 aPukthuanthong, Kuntara1 aYang, Jimmy  u/biblio/international-diversification-frontier-markets-201114nas a2200145   4500008004100000245006100041210006100102260000900163300001200172490000700184520064900191653001200840100001700852856009900869       2011                        eng d00aTesting the CAPM across observed and fundamental returns0 aTesting the CAPM across observed and fundamental returns  c2011  a625-6360 v213 aThe CAPM describes a relationship between risk and expected forward-looking returns. Existing research tests the model using realized returns as the proxy for ex-ante expectations. However, recent studies cast doubt on the ability of ex-post observed returns to proxy for ex-ante expectations. Using an alternative specification to proxy for investor expectations, I test the CAPM in the context of pricing size and book/market equities. The results indicate that the CAPM retains additional merit with an improved measure of expectations. However, the value premium appears large and significant across both specifications of expected returns.10aFinance1 aBerger, Dave  u/biblio/testing-capm-across-observed-and-fundamental-returns-000469nas a2200133   4500008004100000245005600041210005600097260001700153653001200170100001700182700002700199700001600226856009300242       2010                        eng d00aInternational diversification with frontier markets0 aInternational diversification with frontier markets  aTaipeic201010aFinance1 aBerger, Dave1 aPukthuanthong, Kuntara1 aYang, Jimmy  u/biblio/international-diversification-frontier-markets-300481nas a2200133   4500008004100000245005600041210005600097260002900153653001200182100001700194700001600211700002700227856009300254       2010                        eng d00aInternational Diversification with Frontier Markets0 aInternational Diversification with Frontier Markets  aNew York, New Yorkc201010aFinance1 aBerger, Dave1 aYang, Jimmy1 aPukthuanthong, Kuntara  u/biblio/international-diversification-frontier-markets-401162nas a2200133   4500008004100000245007200041210006900113260000900182490000700191520069100198653001200889100001700901856011000918       2010                        eng d00aInvestor perceptions and volatility within the risk-return tradeoff0 aInvestor perceptions and volatility within the riskreturn tradeo  c20100 v203 aConditional asset pricing models within the risk-return literature describe a relation between expected risk and return for period t+1, with expectations formed during period t. Existing risk estimates in the literature are formed using backwards looking measures during period t, which are projected forward for period t+1. Evidence suggests ex post observations do not always correspond with conditional ex ante expectations. Using forward looking survey data, I compare measures of expected risk, with common estimates of risk in the literature. Supporting empirical research, I find a strong relation between forward looking investor risk perceptions and conditional risk estimates.10aFinance1 aBerger, Dave  u/biblio/investor-perceptions-and-volatility-within-risk-return-tradeoff-000359nas a2200121   4500008004100000245003000041210003000071260001800101653001200119100001700131700001700148856007200165       2009                        eng d00aEmerging Market Contagion0 aEmerging Market Contagion  aChicagoc200910aFinance1 aBerger, Dave1 aTurtle, H, J  u/biblio/emerging-market-contagion-001014nas a2200157   4500008004100000245004500041210004500086260000900131300001200140490000700152520058200159653001200741100001700753700002100770856006500791       2009                        eng d00aTime variability in market risk aversion0 aTime variability in market risk aversion  c2009  a285-3070 v323 aWe adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, we find risk aversion responds to consumption smoothing behavior. As income increases, or as the ratio of consumption-to-income falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios.10aFinance1 aBerger, Dave1 aTurtle, Harry, J  uhttp://www.blackwellpublishing.com/journal.asp?ref=0270-259200363nas a2200109   4500008004100000245004500041210004500086260000900131653001200140100001700152856008400169       2008                        eng d00aTime Variability in Market Risk Aversion0 aTime Variability in Market Risk Aversion  c200810aFinance1 aBerger, Dave  u/biblio/time-variability-market-risk-aversion-300363nas a2200109   4500008004100000245004500041210004500086260000900131653001200140100001700152856008400169       2007                        eng d00aTime variability in market risk aversion0 aTime variability in market risk aversion  c200710aFinance1 aBerger, Dave  u/biblio/time-variability-market-risk-aversion-4