..., Gergana Jostova, and Alexander Philipov Licensed re-use rights only Analyst bias Optimism Anomalies Behavioral Mispricing G14 G12 G11 G24 G41 A large body of research ties cross-sectional stock return differences to firm characteristics. These characteristic-based return signals...

... modeling E01 E22 E44 G12 G31 Initiated by Arrow (1968) , a prominent theoretical literature on costly reversibility has long been established in the real options framework (Bernanke, 1983 ; Dixit and Pindyck, 1994 ; McDonald and Siegel, 1986) and the neoclassical q-theory...

... Information Conference 2022, and the Financial Management Association (FMA) Conference 2022. © 2025 Mathias Hasler 2025 Mathias Hasler Licensed re-use rights only Value premium HML portfolio Research decisions Chance result Statistical biases G10 G11 G12 G14 C1 C2...

... Zhou 2025 Pekka Honkanen, Yapei Zhang, and Tong Zhou Licensed re-use rights only Exchange-traded funds Money market funds Dividends Treasury markets Spillover effects G12 G23 G24 The assets under management of exchange-traded funds (ETFs) have grown by more than 26...

...-factor returns, and James Ng for excellent research assistance. © 2025 Tim Loughran 2025 Tim Loughran Licensed re-use rights only Fama–French 6-factor q5-factor q-factor Market efficiency Equity issuers G12 G14 G34 G40 In the last 30 years, myriad market anomalies have...

... 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...

..., and Esad Smajlbegovic for valuable comments. © 2025 Michael Ungeheuer and Martin Weber 2025 Michael Ungeheuer and Martin Weber Licensed re-use rights only Investment decisions Diversification Correlation neglect Risk taking Asset pricing Experimental research C91 G41 G11 G12...

...-correct Risk premia C12 G12 Kleibergen and Zhan (2020) propose two asset pricing tests in the beta representation of expected asset returns for settings where the number of time-series observations does not greatly exceed the number of assets in the cross-section, because of which...

... are our own. © 2025 Peixin Li and Baolian Wang 2025 Peixin Li and Baolian Wang Licensed re-use rights only Frequency of comovement Idiosyncratic volatility Counting heuristic International finance G11 G12 G15 G41 How investors evaluate the risk of an asset is central...

..., Phil Dybvig, Monika Piazzesi, as well as an anonymous referee for useful comments. All remaining errors are my own. © 2025 Heber Farnsworth 2025 Heber Farnsworth Licensed re-use rights only Mutual fund flows Active and passive management G10 G11 G12 Flows in and out...

... Robust inference Powerful inference G12 Kleibergen and Zhan (2020) worry that recently proposed alternative consumption measures (Jagannathan and Wang, 2007 ; Kroencke, 2017 ; Parker and Julliard, 2005 ; Savov, 2011) are only poorly correlated with stock returns. They claim...

... Stock returns Seasonality G12 G14 In the 1980s, numerous calendar anomalies were published in the academic literature. One of these puzzling findings is the abnormally higher returns on trading days prior to holidays. This anomaly was firstly observed by Fields (1934), who showed a high...

... No. 71790605). All errors are the authors’ responsibility. © 2024 Clark Liu and Baolian Wang 2024 Clark Liu and Baolian Wang Licensed re-use rights only Long-term demand curves Divergence of opinion Split-share structure reform A/B share Lack of substitutes G02 G12 G15...

... Yongjin Kim and Bryan R. Routledge Licensed re-use rights only Investment Cost of capital Equity risk premium Dynamics Corporate investment policy E32 E43 E44 G12 Determining cost of capital is central in corporations’ decisions on capital budgeting. To estimate the cost...

... Siddique, the work has been done on his own time and using his own resources. © 2023 Campbell R. Harvey and Akhtar Siddique 2023 Campbell R. Harvey and Akhtar Siddique Licensed re-use rights only Factor models Trading costs Mispricing G11 G12 G14 The genesis of modern...

... and suggestions. © 2023 Dan Gabriel Anghel, Petre Caraiani, Alina Roşu and Ioanid Roşu 2023 Dan Gabriel Anghel, Petre Caraiani, Alina Roşu and Ioanid Roşu Licensed re-use rights only Factor models Trading costs Mispricing G11 G12 G14 An important goal of asset pricing...

... Duarte, Avraham Kamara, Stephan Siegel and Celine Sun 2023 Andrew Detzel, Jefferson Duarte, Avraham Kamara, Stephan Siegel and Celine Sun Licensed re-use rights only Factor models Trading costs Mispricing G11 G12 G14 The main results of Ang et al. (2006) are based...

..., The Hong Kong Polytechnic University (P0042708). © 2023 Seongkyu Gilbert Park, K. C. John Wei and Linti Zhang 2023 Seongkyu Gilbert Park, K. C. John Wei and Linti Zhang Licensed re-use rights only Idiosyncratic volatility Look-ahead bias EGARCH G10 G12 Risk and return...

...) 2023 Haimanot Kassa, Feifei Wang and Yan Xuemin (Sterling) Licensed re-use rights only Expected market return Volatility Risk-return tradeoff EGARCH G11 G12 G14 G15 The risk-return tradeoff is one of the most fundamental issues in finance. In static asset pricing models...

... only Idiosyncratic volatility Measurement error Bid-ask bounce Asynchronicity CRSP database G11 G12 G14 It is the consensus that the US equity market in the period from the 1960s to the early 2000s experienced a strengthening role of idiosyncratic (or firm-level) volatility...