... at UCLA Anderson and the Bank of England for helpful comments. © 2022 Andrea L. Eisfeldt et al. 2022 Andrea L. Eisfeldt et al. Licensed re-use rights only Value investing Value factor Intangible assets Intangible capital G1 G10 G11 E22 Value investing requires...

... Stock-return predictability C22 G1 It is distressing to be accused of a mistake one has not made. It is more distressing when the contrary statements lie only a few pages deeper in one’s paper, and more still when one has pointed this out twice already in writing. Such is the case...

...-return predictability C22 G1 A standard empirical framework for testing return predictability consists of a predictive regression for returns and an autoregressive (AR) process for the dividendprice ratio. In an influential study, Cochrane (2008) adds a predictive regression...

... options Mispricing Options Index options S&P 500 index options Eurostoxx 50 index options DAX index options G1 G11 G12 G13 Constantinides and Perrakis (2002, 2007) consider an investor who trades in a risk free asset and the market index subject to proportional transaction...

... 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...

... editor for helpful insights and suggestions. © 2019 Craig W. Holden and Jayoung Nam 2019 Craig W. Holden and Jayoung Nam Licensed re-use rights only Liquidity risk Liquidity-adjusted CAPM Liquidity measures G0 G1 G12 In a pioneering and influential article, Acharya...