Interpreting accruals as working capital investment, we hypothesize that firms rationally adjust their investment to respond to discount rate changes. Consistent with the optimal investment hypothesis, we document that (i) the predictive power of accruals for future stock returns increases with...

Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher...

Building on neoclassical reasoning, we propose a new multi-factor model that consists of the market factor and factor mimicking portfolios based on investment and productivity. The neo- classical three-factor model outperforms traditional factor models in explaining the average returns across...

Search frictions in the labor market help explain the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium model with recursive preferences. The model produces a sizeable equity premium of 4.54% per annum...

It is common that the deformation of an excavation slope leads to the displacement or even destruction of the surrounding buildings. An effective way to put an end to such accidents is to have adequate knowledge on the trigger factors of the deformation and failure of excavation slopes. Herein,...

Value stocks are more exposed to disaster risk than growth stocks. Embedding disasters into an investment-based asset pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples in...

Crop reference evapotranspiration (ET0) is often used to determine crop water requirement. ET0 maps are useful for regional agricultural and water resources management, and also play an important role in the distributed hydrological modeling. For generating spatial ET0 surfaces,...

Crop area planning plays significant role in agricultural water management. During the planning, because of ambiguous or uncertain information caused by the vagueness of decision makers' subjective preference or the uncertainty of objective information, conventional multi-objective linear...

Within the standard search and matching model, time-to-build implies that high aggregate risk premiums should forecast low employment growth in the short run but high employment growth in the long run. If there is also time-to-plan, high risk premiums should forecast low net hiring rates in the...