This paper shows that low‐risk anomalies in the capital asset pricing model and in
traditional factor models arise when investors require compensation for coskewness risk …

Prior studies find that a strategy that buys high‐beta stocks and sells low‐beta stocks has a
significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it …

ABSTRACT Between 1934 and 1974, the Federal Reserve changed the initial margin
requirement for the US stock market 22 times. I use this variation to show that investors' …

Identification of the enterprise financialization motivation on crowding out R&D innovation:
evidence from listed companies Page 1 AIMS Mathematics, 9(3): 5951–5970. DOI: 10.3934/math.2024291 …

Crowding is a major concern for investors in alternative risk premia. By focusing on the
distinct mechanics of various systematic strategies, this study introduces a framework that …

We demonstrate that a broad set of asset pricing factors/anomalies are significantly exposed
to “noise trader risk,” and the noise trader risk is priced in factor premia. We first confirm that …

We examine whether the managers of equity mutual funds exhibit reinforcement learning,
investing more heavily in firms in which they previously experienced higher returns. The …

We construct a traded funding liquidity measure from stock returns. Guided by a model, we
extract the measure as the return spread between two beta-neutral portfolios constructed …

Using data on asset pricing anomalies, I test the idea that the act of arbitrage turns “alphas”
into “betas”: Assets with high initial abnormal returns attract more arbitrage and covary …

Factor cyclicality can be understood in the context of factor sensitivity to aggregate cash-flow
news. Factors exhibit different sensitivities to macroeconomic risk, and this heterogeneity …