... Limited 2026 Emerald Publishing Limited Licensed re-use rights only Market efficiency Lending fees Spinoff uncertainty Forward pricing Options Arbitrage G12 G14 G40 A bedrock principle of modern financial economics is the efficiency of market pricing and the absence...

... Tiancheng Lan tiancheng.lan@curtin.edu.au 10 11 2024 12 10 2025 07 11 2025 © 2026 Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Photo pessimism Sentiment Return predictability G14 G40 The relationship between news...

... Limited Licensed re-use rights only Stock splits Volatility Returns G14 Volatility plays a valuable role in finance and analyzing it is vital for developing the field. There have been relevant papers published exposing puzzles in price volatility (Shiller, 1981), idiosyncratic...

... Publishing Limited Licensed re-use rights only Return predictability Equity risk premium Pockets of predictability Replication Methodological uncertainty Research design Aggregate market returns G11 G12 G14 G17 National Science Center of Poland Grant No. 2022/45/B/HS4/00451...

... 2024 17 04 2024 © 2026 Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Market Beta Estimation International Stock Markets C58 G11 G12 G14 G15 G17 This paper evaluates the predictive and hedging performance of 11 market beta...

... B40 C10 C12 C18 G11 G12 G14 Splashy stock return effects garner attention in academic journals and popular media outlets. Among these are studies linking stock returns to extreme climate variables (El Niño, geomagnetic storm activity, global warming), outer space (lunar phases, planetary...

..., 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...

... Exchange rate risk premium Systematic forecast errors Rational forecasting F31 G14 G15 Scores of studies over the past four decades find that forward exchange rates are biased predictors of spot exchange rates. The finding is based on a linear regression of the one-period-ahead change...

... estimate is upward biased because of a potential chance result in the original research decisions. Value premium HML portfolio Research decisions Chance result Statistical biases G10 G11 G12 G14 C1 C2 The value premium compensates investors for a unit exposure to the value factor...

...-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...

... we show are borne out by the data. Mergers and acquisitions Size effects Scaling G34 G14 A central question in the M&A literature is which transactions generate shareholder value for the acquiring firm (the “bidder”), usually measured by bidder announcement returns from...

... significantly positive alphas. © 2025 Anne-Marie Anderson and Benjamin Jansen 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...

... Price dissemination Trend chasing Return co-movement G14 N2 How information affects prices is a fundamental question in asset pricing. To address this question, Tetlock (2014) recommends studying mechanisms that disseminate information to investors. The information-disseminating...

... 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...

... 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...

.../jwurgler/. The primary objective of FSS is to investigate relations of the form E ( R m τ - R f t | σ m τ p ˆ )= α + β σ ˆ m τ p ,  p =1,2     (1) Expected market return Volatility Risk-return tradeoff EGARCH G11 G12 G14...

... 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 (IV) relative to the systemic component of market risk, as discussed...

... Research Council of Canada (SSHRC). © 2022 C. Martineau 2022 C. Martineau Licensed re-use rights only Earnings announcements Market efficiency Post-earnings announcement drifts Price discovery G10 G12 G14 Price formation to firm earnings news has been subject to a large...