In the investment theory, firms with high expected investment growth earn higher expected
returns than firms with low expected investment growth, holding investment and expected …

We find that three factors—cryptocurrency market, size, and momentum—capture the cross‐
sectional expected cryptocurrency returns. We consider a comprehensive list of price‐and …

Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF)
momentum factor generates a monthly alpha of 1.68%(t= 9.67). In spanning regressions, the …

Many recently proposed, seemingly different factor models are closely related. In spanning
tests, the q-factor model largely subsumes the Fama–French five-and six-factor models, and …

Based on an asset demand system, we develop a framework to quantify the impact of market
trends and changes in regulation on asset prices, price informativeness, and the wealth …

We propose a novel framework for analyzing linear asset pricing models: simple, robust, and
applicable to high‐dimensional problems. For a (potentially misspecified) stand‐alone …

We introduce a real-time measure of conditional biases to firms' earnings forecasts. The
measure is defined as the difference between analysts' expectations and a statistically …

We document strong abnormal effects due to US landfall hurricanes over the period 1990 to
2017 on stock returns and illiquidity across portfolios of stocks sorted by market equity (ME) …