We introduce forecasted unemployment as a state variable that forecasts future macroeconomic activity. Hence, forecasted unemployment is expected to be priced in the cross-section of stock returns. Consistently, we quantify stock exposure to forecasted unemployment and document the importance of...

This paper investigates the importance of robotics usage on firms' implied cost of equity. We find that robotics (both installations and operational stock) has significant negative explanatory power for a firm's cost of equity. More specifically, robotics contribute to firms' operating...

While investors demand a premium to hold stocks with high illiquidity level and risk, they underreact to stock-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a significant relationship between market liquidity...

This paper provides evidence to the importance of revisions in expected unemployment rate in the cross-sectional pricing of individual stocks. We introduce a measure of unemployment beta which quantifies monthly-varying stock sensitivity to the innovations in forecasted unemployment rate. Stocks...

We introduce forecasted unemployment as a state variable that forecasts future macroeconomic activity. Hence, forecasted unemployment is expected to be priced in the crosssection of stock returns. Consistently, we quantify stock exposure to forecasted unemployment and document the importance of...

While investors demand a premium to hold stocks with high illiquidity level and risk, they underreact to stock-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) model, this paper documents: (i) significant relationship between market liquidity and sentiment,...

Regulations introduce significant fixed costs and add to operating leverage. “Regulatory operating leverage”, a measure of fixed regulatory costs, decreases a firm's value through implied cost of equity and profitability channels. Negative value implications of regulatory operating leverage...

Motivated by existing evidence of a preference among investors for stocks with high maximum daily returns, we document that lottery-like payoffs measured by maximum daily returns are almost entirely idiosyncratic. Firm-level cross-sectional regressions and portfolio-sort analyses prove that...

I investigate the importance of personal savings rate in the cross-sectional pricing of individual stocks. I estimate each stock's monthly-varying sensitivity to the personal savings rate and show that stocks in the lowest savings rate beta quintile generate 6% more annualized risk-adjusted...