This paper analyzes the asset pricing and portfolio implications of an important barrier to
sustainable investing: uncertainty about the corporate ESG profile. In equilibrium, the market …

Long short-term memory (LSTM) networks are a state-of-the-art technique for sequence
learning. They are less commonly applied to financial time series predictions, yet inherently …

Buying is easier than shorting for many equity investors. Combining this arbitrage
asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the …

I review the literature on financial speculation driven by belief disagreements from a
macroeconomics perspective. To highlight unifying themes, I develop a stylized …

Abstract The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk
and return, but empirical studies find the actual relation to be flat, or even negative. This …

Behavioral finance tries to make sense of financial data using models that are based on
psychologically accurate assumptions about people's beliefs, preferences, and cognitive …

Traditional capital structure theory predicts that reducing banks' leverage reduces the risk
and cost of equity but does not change the weighted average cost of capital, and thus the …

We examine institutional demand prior to well-known stock return anomalies and find that
institutions have a strong tendency to buy stocks classified as overvalued (short leg of …

We show that asset prices behave very differently on days when important macroeconomic
news is scheduled for announcement. In addition to significantly higher average returns for …

The security market line accords with the capital asset pricing model by taking on an upward
slope in pessimistic sentiment periods, but is downward slo** during optimistic periods …