We examine the predictive effect of sentiment on the cross-section of stock returns across different economic states. The degree of mispricing and the subsequent price correction can be different between economic expansion and recession because of the limits of arbitrage and short sale...

Using forward-looking information in the options market, we introduce a new method for better identifying systematic market risk as a predictor for the cross-section of stock returns. Empirical results show that there is a significantly positive relation between our option-implied beta and...

This study uncovers a unique dividend-tax arbitrage strategy that provides high-bracket investors the opportunity to circumvent taxation on dividend income. As the first comprehensive analysis, we examine diverse investor types, implementation techniques, and implications on stock prices....