phenomenon to funding liquidity risk. We demonstrate that price pressure driven by demand for lottery-like stocks plays a … for lottery demand, the betting against beta phenomenon disappears, while other firm characteristics, measures of risk … only exists when the price impact of lottery demand falls disproportionately on high-beta stocks. Finally, factor models …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … (individual stocks) with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … (individual stocks) with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find …