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Cyber loss model risk translates to premium mispricing and risk sensitivity
In this paper we focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to...
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Accrual mispricing, value-at-risk, and expected stock returns
We investigate the extent to which a parsimonious measure of maximum likely loss that captures the tail risk of returns—known as value-at-risk...
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The Profitability and Arbitrage Efficiency of the Chicago Mercantile Exchange Nikkei 225 Futures
This article studies the profitability and arbitrage efficiency of the Chicago Mercantile Exchange (CME) Nikkei 225 futures. As one of the most...
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Firm-level investor favoritism and the external financing and capital expenditure anomalies
Prior literature documents a positive (negative) relation between past (future) stock returns and both external financing and capital expenditures....
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Book-to-market effect and product life cycle
This paper examines the relationship between product life cycle and book-to-market effect on cross-sectional stock returns. While previous papers...
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The cross-section of January effect
We examine the cross-sectional January effect among portfolios that long sentiment-prone and difficult-to-arbitrage stocks and short...
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The impact of analyst forecast errors on fundamental indexation: the Australian evidence
Evidence from many developed markets suggests that fundamental indices outperform capitalisation-weighted indices. Existing studies suspect a story...
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Factor momentum, option-implied volatility scaling, and investor sentiment
Factor momentum produces robust average returns that exhibit a similar economic magnitude as stock price momentum. To the extent that the...
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Enhancing stock market anomalies with machine learning
We examine the predictability of 299 capital market anomalies enhanced by 30 machine learning approaches and over 250 models in a dataset with more...
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Predictable asset price dynamics, risk-return tradeoff, and investor behavior
Using a testable Slutsky equation derived from a formal utility maximization model of portfolio choice under uncertainty, we examine whether the...
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Equal-weighting and value-weighting: which one is better?
Prior research shows that noisy prices can introduce biases in returns causing equal-weighted portfolios to outperform value-weighted portfolios. In...
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The impact of make-take fees on market efficiency
Stock exchanges structure their trading fees to subsidize liquidity by offering “make” rebates for providing liquidity through limit orders and...
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Market Efficiency and Asset Pricing
This chapter examines how efficient markets are at reflecting price and price movements. Market efficiency is defined as the degree to which market...
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Same same but different: how preferential claims trigger valuation discounts in equity tranches of VC-backed firms
Venture capital (VC) often involves complex equity contracts with so-called preferential rights affecting the allocation of exit proceeds among...
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Pros and Cons of Active Management
This chapter focuses on the benefits and on the threats of active management retracing the most significant contributions of the extensive literature...
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Investor sentiment and the time-varying sustainability premium
Studies show the inconclusive results regarding the relation between corporate social and environmental responsibility (CSR and CER) and expected...
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Idiosyncratic volatility, option-based measures of informed trading, and investor attention
We establish a direct link between sophisticated investors in the option market, private stock market investors, and the idiosyncratic volatility...
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Uncertainty in firm valuation and a cross-sectional misvaluation measure
The degree of uncertainty associated with the value of a company plays a relevant role in valuation analysis. We propose an original and robust...
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Anomalies and Multifactor Models
Fama and French (1992, 1993, 1995, 1996) proposed the three-factor model. Their model motivated researchers to propose other multifactor models. Here...
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Alternative profitability measures and cross-section of expected stock returns: international evidence
This paper provides an extensive international analysis of the cross-sectional return predictive power of a variety of firm-level profitability...