We propose a unified set of distance-based performance metrics that address the power and extreme-error problems inherent in traditional measures for asset-pricing tests. From a Bayesian perspective, the distance metrics coherently incorporate both pricing errors and their standard errors....

Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC) for firms? Using U.S. data, we find cross-sectional evidence that, controlling for market capitalization, the Amihud (2002) measure of illiquidity is negatively related to CoC...

A significant fraction of firms' financing occurs via public debt markets. Accordingly, we investigate whether financial statement characteristics and other variables that predict equity returns also predict corporate bond returns. Profitability, asset growth, and equity market capitalization...

We investigate whether corporate bond returns are related to commonly used predictors of stock returns. Using a comprehensive sample of U.S. corporate bonds from 1973 to 2011, we find that size, equity momentum, lagged equity returns, profitability, and idiosyncratic volatility forecast bond...

There is as yet no consensus on why equity markets permit momentum, although the literatureproposes several explanations. Our analysis uses out-of-sample international datato consider a “horse race” across existing empirical proxies for momentum rationales usedby earlier studies. Our central...