@article {1969091,
	title = {Earnings conference calls and institutional monitoring: Evidence from textual analysis},
	journal = {Journal of Financial Research},
	year = {2020},
	month = {2020},
	keywords = {Finance},
	author = {Berger,Dave and Cao,Xueli and Pukthuanthong,Kuntara}
}
@article {1969096,
	title = {Fragility, stress, and market returns},
	journal = {Journal of Banking \& Finance},
	year = {2016},
	month = {2016},
	keywords = {Finance},
	author = {Berger,Dave and Pukthuanthong,Kuntara}
}
@article {1976496,
	title = {On valuing human capital and relating it to macro variables},
	year = {2016},
	month = {2016},
	address = {Las Vegas},
	keywords = {Finance},
	author = {Berger,Dave and Roll,Richard and Pukthuanthong,Kuntara}
}
@article {1969101,
	title = {Sentiment Bubbles},
	journal = {Journal of Financial Markets},
	volume = {23},
	year = {2015},
	month = {2015},
	pages = {59-74},
	abstract = {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{\textemdash}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.},
	keywords = {Finance},
	author = {Berger,Dave and Turtle,Harry}
}
@article {1969106,
	title = {Is the diversification benefit of frontier markets realizable by mean-variance investors? The evidence of investable funds},
	journal = {Journal of Portfolio Management},
	volume = {39},
	year = {2013},
	month = {2013},
	pages = {36-48},
	keywords = {Finance},
	author = {Berger,Dave and Pukthuanthong,Kuntara and Yang,Jimmy}
}
@article {1969111,
	title = {Financial turbulence and Beta estimation},
	journal = {Applied Financial Economics},
	volume = {23},
	year = {2013},
	month = {2013},
	pages = {251-263},
	abstract = {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.},
	keywords = {Finance},
	author = {Berger,Dave}
}
@article {1969121,
	title = {Cross-sectional performance and investor sentiment in a multiple risk factor model},
	journal = {Journal of Banking \& Finance},
	volume = {36},
	year = {2012},
	month = {2012},
	pages = {1107-1121},
	abstract = {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.},
	keywords = {Finance},
	author = {Berger,Dave and Turtle,Harry J}
}
@article {1969116,
	title = {Market fragility and international market crashes},
	journal = {Journal of Financial Economics},
	volume = {105},
	year = {2012},
	month = {2012},
	pages = {565-580},
	abstract = {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.},
	keywords = {Finance},
	author = {Berger,Dave and Pukthuanthong,Kuntara}
}
@article {1969126,
	title = {Emerging market crises and US equity market returns},
	journal = {Global Finance Journal},
	volume = {22},
	year = {2011},
	month = {2011},
	abstract = {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.},
	keywords = {Finance},
	author = {Berger,Dave and Turtle,Harry J}
}
@article {1969136,
	title = {International diversification with frontier markets},
	journal = {Journal of Financial Economics},
	volume = {101},
	year = {2011},
	month = {2011},
	pages = {227-242},
	abstract = {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.},
	keywords = {Finance},
	author = {Berger,Dave and Pukthuanthong,Kuntara and Yang,Jimmy}
}
@article {1969131,
	title = {Testing the CAPM across observed and fundamental returns},
	journal = {Applied Financial Economics},
	volume = {21},
	year = {2011},
	month = {2011},
	pages = {625-636},
	abstract = {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.},
	keywords = {Finance},
	author = {Berger,Dave}
}
@article {1976501,
	title = {International diversification with frontier markets},
	year = {2010},
	month = {2010},
	address = {Taipei},
	keywords = {Finance},
	author = {Berger,Dave and Pukthuanthong,Kuntara and Yang,Jimmy}
}
@article {1976506,
	title = {International Diversification with Frontier Markets},
	year = {2010},
	month = {2010},
	address = {New York, New York},
	keywords = {Finance},
	author = {Berger,Dave and Yang,Jimmy and Pukthuanthong,Kuntara}
}
@article {1969141,
	title = {Investor perceptions and volatility within the risk-return tradeoff},
	journal = {Applied Financial Economics},
	volume = {20},
	year = {2010},
	month = {2010},
	abstract = {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.},
	keywords = {Finance},
	author = {Berger,Dave}
}
@article {1976511,
	title = {Emerging Market Contagion},
	year = {2009},
	month = {2009},
	address = {Chicago},
	keywords = {Finance},
	author = {Berger,Dave and Turtle,H J}
}
@article {1969146,
	title = {Time variability in market risk aversion},
	journal = {Journal of Financial Research},
	volume = {32},
	year = {2009},
	month = {2009},
	pages = {285-307},
	abstract = {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.},
	keywords = {Finance},
	url = {http://www.blackwellpublishing.com/journal.asp?ref=0270-2592},
	author = {Berger,Dave and Turtle,Harry J}
}
@article {1976516,
	title = {Time Variability in Market Risk Aversion},
	year = {2008},
	month = {2008},
	keywords = {Finance},
	author = {Berger,Dave}
}
@article {1976521,
	title = {Time variability in market risk aversion},
	year = {2007},
	month = {2007},
	keywords = {Finance},
	author = {Berger,Dave}
}
