This paper provides evidence for a causal effect of equity prices on corporate investment and employment. We use fire … whose stocks are most underpriced have considerably lower investment and employment than industry peers not subject to any … fire sale discount. The causal effect of underpricing on investment is found to be largely concentrated on the most …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … no significant relationship. After controlling for a large set of fund characteristics and risk factors, the positive … argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge fund returns. …

kurtosis. We find that the risk of momentum is highly variable over time and predictable. Managing this risk virtually … eliminates crashes and nearly doubles the Sharpe ratio of the momentum strategy. Risk-managed momentum is a much greater puzzle …

on fund returns and investment objectives. Our approach augments commonly used factor models with an additional benchmark … that represents an equal investment in all same-category funds, which we call an active peer benchmark (APB). We find that …

, credit risk, dispersion, idiosyncratic volatility, and capital investments derive their profitability from taking short … positions in high credit risk firms that experience deteriorating credit conditions. In contrast, the value-based strategy … derives most of its profitability from taking long positions in high credit risk firms that survive financial distress and …