TY - JOUR T1 - Earnings conference calls and institutional monitoring: Evidence from textual analysis JF - Journal of Financial Research Y1 - 2020 A1 - Berger,Dave A1 - Cao,Xueli A1 - Pukthuanthong,Kuntara KW - Finance U2 - a U4 - 144818911232 ID - 144818911232 ER - TY - JOUR T1 - Fragility, stress, and market returns JF - Journal of Banking & Finance Y1 - 2016 A1 - Berger,Dave A1 - Pukthuanthong,Kuntara KW - Finance U2 - a U4 - 57419567104 ID - 57419567104 ER - TY - HEAR T1 - On valuing human capital and relating it to macro variables Y1 - 2016 A1 - Berger,Dave A1 - Roll,Richard A1 - Pukthuanthong,Kuntara KW - Finance JA - Financial Management Association Annual Meeting CY - Las Vegas U2 - c U4 - 144819625984 ID - 144819625984 ER - TY - JOUR T1 - Sentiment Bubbles JF - Journal of Financial Markets Y1 - 2015 A1 - Berger,Dave A1 - Turtle,Harry KW - Finance AB - We 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. VL - 23 U2 - a U4 - 57419835392 ID - 57419835392 ER - TY - JOUR T1 - Is the diversification benefit of frontier markets realizable by mean-variance investors? The evidence of investable funds JF - Journal of Portfolio Management Y1 - 2013 A1 - Berger,Dave A1 - Pukthuanthong,Kuntara A1 - Yang,Jimmy KW - Finance VL - 39 U2 - a U4 - 53000775681 ID - 53000775681 ER - TY - JOUR T1 - Financial turbulence and Beta estimation JF - Applied Financial Economics Y1 - 2013 A1 - Berger,Dave KW - Finance AB - I 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. VL - 23 U2 - a U4 - 31187142657 ID - 31187142657 ER - TY - JOUR T1 - Cross-sectional performance and investor sentiment in a multiple risk factor model JF - Journal of Banking & Finance Y1 - 2012 A1 - Berger,Dave A1 - Turtle,Harry J KW - Finance AB - The 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. VL - 36 CP - 4 U2 - a U4 - 31187070977 ID - 31187070977 ER - TY - JOUR T1 - Market fragility and international market crashes JF - Journal of Financial Economics Y1 - 2012 A1 - Berger,Dave A1 - Pukthuanthong,Kuntara KW - Finance AB - We 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. VL - 105 CP - 3 U2 - a U4 - 33748656129 ID - 33748656129 ER - TY - JOUR T1 - Emerging market crises and US equity market returns JF - Global Finance Journal Y1 - 2011 A1 - Berger,Dave A1 - Turtle,Harry J KW - Finance AB - We 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. VL - 22 CP - 1 U2 - a U4 - 31303708673 ID - 31303708673 ER - TY - JOUR T1 - International diversification with frontier markets JF - Journal of Financial Economics Y1 - 2011 A1 - Berger,Dave A1 - Pukthuanthong,Kuntara A1 - Yang,Jimmy KW - Finance AB - We 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. VL - 101 CP - 1 U2 - a U4 - 30702147585 ID - 30702147585 ER - TY - JOUR T1 - Testing the CAPM across observed and fundamental returns JF - Applied Financial Economics Y1 - 2011 A1 - Berger,Dave KW - Finance AB - The 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. VL - 21 CP - 9 U2 - a U4 - 10924781569 ID - 10924781569 ER - TY - HEAR T1 - International diversification with frontier markets Y1 - 2010 A1 - Berger,Dave A1 - Pukthuanthong,Kuntara A1 - Yang,Jimmy KW - Finance JA - NTU Seminar CY - Taipei U2 - c U4 - 33400158209 ID - 33400158209 ER - TY - HEAR T1 - International Diversification with Frontier Markets Y1 - 2010 A1 - Berger,Dave A1 - Yang,Jimmy A1 - Pukthuanthong,Kuntara KW - Finance JA - Financial Management Association CY - New York, New York U2 - c U4 - 33700190209 ID - 33700190209 ER - TY - JOUR T1 - Investor perceptions and volatility within the risk-return tradeoff JF - Applied Financial Economics Y1 - 2010 A1 - Berger,Dave KW - Finance AB - Conditional 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. VL - 20 CP - 13 U2 - a U4 - 16105814017 ID - 16105814017 ER - TY - HEAR T1 - Emerging Market Contagion Y1 - 2009 A1 - Berger,Dave A1 - Turtle,H J KW - Finance JA - Midwest Finance Association CY - Chicago U2 - c U4 - 14167050241 ID - 14167050241 ER - TY - JOUR T1 - Time variability in market risk aversion JF - Journal of Financial Research Y1 - 2009 A1 - Berger,Dave A1 - Turtle,Harry J KW - Finance AB - We 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. VL - 32 UR - http://www.blackwellpublishing.com/journal.asp?ref=0270-2592 CP - 3 U2 - a U4 - 10695460865 ID - 10695460865 ER - TY - HEAR T1 - Time Variability in Market Risk Aversion Y1 - 2008 A1 - Berger,Dave KW - Finance JA - Midwest Finance Association Annual Meeting U2 - c U4 - 10695579649 ID - 10695579649 ER - TY - HEAR T1 - Time variability in market risk aversion Y1 - 2007 A1 - Berger,Dave KW - Finance JA - Financial Management Association Doctoral Consortium U2 - c U4 - 10695571457 ID - 10695571457 ER -