We investigate the role of economic uncertainty in the cross-sectional pricing of individual
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index …

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 …

We present a new model of asset prices in which investors evaluate risk according to
prospect theory and examine its ability to explain 23 prominent stock market anomalies. The …

We provide evidence regarding mutual funds' motivation to hold lottery stocks. Funds with
higher managerial ownership invest less in lottery stocks, suggesting that managers …

Corporate bond returns exhibit predictability in a manner consistent with efficient pricing.
Many equity characteristics, such as accruals, standardized unexpected earnings, and …

Previous empirical studies find that lottery-like stocks significantly underperform their non-
lottery-like counterparts. Using five different measures of the lottery features in the literature …

We investigate the relation between the option returns and the underlying stock's lottery-like
characteristics. Call options written on the most lottery-like stocks underperform otherwise …

This paper examines the impacts of extreme events, economic uncertainty and speculation
on price bubbles in crude oil futures. For better forecast and estimate the positive/negative …

This study explores the distress risk anomaly—the tendency for stocks with high credit risk to
perform poorly—among 38 countries over two decades. We find a strongly negative …

By using evidence of the pricing of idiosyncratic skewness (IS), which can represent
gambling preferences, our paper finds that the Chinese stock market has a significant …