...Paulo Maio; Byoung-Kyu Min The authors revisit the asset pricing tests conducted in Lettau and Ludvigson (2001) ( LL ). Contrary to LL’s claim, their conditional models based on cay do not explain the dispersion in risk premia among the size/book-to-market portfolios. The pricing...

... 2025 Anne-Marie Anderson and Benjamin Jansen Licensed re-use rights only Asset pricing Market efficiency Firm value G12 G14 G32 The Law of One Price (LOP) is central to financial economics. If two assets generate the same cash flows, then they should have the same price...

... what we learn from such correlation exercises. We then discuss how convincing progress can be made in uncovering the foundations of portfolio choice and asset pricing, drawing on our own experimental research for illustration. * We are grateful to Zwetelina Iliewa, Heiko Jacobs, Petri Jylha...

...) volatility measures can only be estimated at the aggregate level. An advantage of asset pricing model-based IVs is that they can be estimated at the stock level. Employing these stock-level IV measures, we examine trends in a variety of IV series and how IV relates to commonly analyzed firm characteristics...

... of the Board of Governors of the Federal Reserve or the Federal Reserve System. © 2022 Andrew Y. Chen and Tom Zimmermann 2022 Andrew Y. Chen and Tom Zimmermann Licensed re-use rights only Stock market anomalies Replication Asset pricing G10 G12 *First posted to SSRN: May 18, 2020...

... independently and without being influenced by theirs. All remaining errors are the author’s responsibility. © 2022 Xing Han 2022 Xing Han Licensed re-use rights only Beta anomaly Return decomposition Betting against correlation asset pricing G11 G12 The low-beta anomaly refers...

...Larry Harris; Andrea Amato This paper replicates and extends the Amihud (2002 ) study that links liquidity to asset pricing. Using the current version of the CRSP dataset, we obtain essentially the same results that Amihud presents. The same methods applied to more recent data show a much weaker...

... Eiichiro Kazumori, Fei Fang, Raj Sharman, Fumiko Takeda and Hong Yu Licensed re-use rights only Liquidity Asset pricing Replication Out-of-sample test G0 G1 G12 N20 Research Question . Acharya and Pedersen (2005 , “AP” hereafter) study the effect of liquidity risk...

... alone, and no other person or institution has any control over its content. © 2019 Hongtao Li, Robert Novy-Marx, and Mihail Velikov 2019 Hongtao Li, Robert Novy-Marx, and Mihail Velikov Licensed re-use rights only Asset pricing Liquidity Factor models Momentum G11 G12...

... marketplace will also exist in the future. Market liquidity risk is the risk that the market will function poorly in the future, handcuffing the “invisible hand” through which markets produce allocative efficiency. We discuss the effects of market liquidity risk on asset pricing, investment management...

... earlier conclusions are robust. We also provide out-ofsample tests. We thank Juhani Linnainmaa, Joseph Gerakos and Ivo Welch for helpful comments and discussions. © 2016 K. Daniel and S. Titman 2016 K. Daniel and S. Titman Licensed re-use rights only Asset Pricing Stock Returns Market...