A five-factor model directed at capturing the size, value, profitability, and investment patterns
in average stock returns performs better than the three-factor model of Fama and French (FF …

We find that people revise their beliefs about climate change upward when experiencing
warmer than usual temperatures in their area. Using international data, we show that …

The anomalous returns associated with net stock issues, accruals, and momentum are
pervasive; they show up in all size groups (micro, small, and big) in cross‐section …

Anomalies are empirical results that seem to be inconsistent with maintained theories of
asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or …

Using a comprehensive database of headlines about individual companies, I examine
monthly returns following public news. I compare them to stocks with similar returns, but no …

Valuation theory says that expected stock returns are related to three variables: the book-to-
market equity ratio (Bt/Mt), expected profitability, and expected investment. Given Bt/Mt and …

To short a stock, an arbitrageur must first borrow it. This paper describes the market for
borrowing and lending US equities, emphasizing the conditions generating and sustaining …

Short-sale constraints are most likely to bind among stocks with low institutional ownership.
Because of institutional constraints, most professional investors simply never sell short and …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

We present evidence supporting the hypothesis that due to investor specialization and
market segmentation, value‐relevant information diffuses gradually in financial markets …