Geert Bekaert

The Time Variation in Risk Appetite and Uncertainty

Management Science · 2021 · 428 citations

We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds, featuring time variation in both risk aversion and economic uncertainty. The joint dynamics among cash flows, macroeconomic fundamentals, and risk aversion accommodate both heteroskedasticity and non-Gaussianity. The model delivers measures of risk aversion and uncertainty at the daily frequency. We verify that equity variance risk premiums are very informative about risk aversion, whereas credit spreads an…

International Financial Management

WORLD SCIENTIFIC eBooks · 2022 · 180 citations

This new and fully updated edition of International Financial Management blends theory, data analysis, examples and practical case situations to equip students and business leaders with the analytical tools they need to make informed financial decisions and manage the risks that businesses face in today's competitive global environment. Combining theory and practice, the authors offer the reader a multitude of real-world examples and case studies, emphasising fundamental concepts, principles and…

Macro risks and the term structure of interest rates

Journal of Financial Economics · 2021-03-29 · 62 citations

Sustainable investment – Exploring the linkage between alpha,<scp>ESG</scp>, and<scp>SDGs</scp>

Sustainable Development · 2023-06-13 · 57 citations

Abstract Environmental, Social and Governance (ESG) investing has attracted much attention in asset management this past decade. Asset managers who consider ESG issues when making investment decisions potentially face a trade off with their fiduciary duty to attempt to outperform investment benchmarks (“generate alpha”). We first analyze the relationship between alpha generation and ESG metrics. However, because there are no well‐accepted ESG standards, we also measure the impact companies have…

Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis

Finance and Economics Discussion Series · 2020-06-01 · 49 citations

We extract aggregate demand and supply shocks for the US economy from real-time survey data on inflation and real GDP growth using a novel identification scheme. Our approach exploits non-Gaussian features of macroeconomic forecast revisions and imposes minimal theoretical assumptions. After verifying that our results for U.S. post-World War II business cycle fluctuations are largely in line with the prevailing consensus, we proceed to study output and price fluctuations during the COVID-19 pand…