25/03/2026
I am pleased to share that our paper, “Geopolitical threats and the reversal of equity size premiums,” co-authored with Syed Riaz Mahmood Ali, has been published in the Journal of Asset Management!
In this paper, we examine how geopolitical threats affect U.S. equity portfolios across market capitalizations using daily returns from 1995 to 2024.
Key takeaways:
*** Large and prime-cap portfolios generate significantly positive returns during heightened geopolitical tensions and yield 0.52% risk-adjusted excess returns during high-threat periods.
*** Small and mid-cap portfolios show no response.
*** Markov regime-switching analysis reveals that this effect intensifies eightfold during high-volatility states.
*** Effects occur contemporaneously with no lagged adjustment and indicate rapid information processing.
This work extends safe haven asset literature to intra-asset class dynamics and demonstrates how firm size moderates geopolitical risk responses with direct implications for strategic asset allocation during global uncertainty.
I am grateful to OP Pohjola Research Foundation for their gracious financial support for this project.
Finally, immense thanks to my co‑author, reviewers, and mentors for their guidance and support!
The paper can be accessed from this link: https://link.springer.com/article/10.1057/s41260-025-00441-z
