parameter, can distort asset pricing results through distress risk estimation, and that the existing academic debate between … results, based on (i) raw and risk-adjusted portfolio returns, (ii) characteristic sorted portfolio returns, and (iii) cross …

exposure to macroeconomic risk, and that FD can increase macroeconomic vulnerability. To do this, we first establish three …

As opposed to the “low beta low risk” convention, we show that low beta stocks are illiquid and exposed to high … liquidity risk. After adjusting for liquidity risk, low beta stocks no longer outperform high beta stocks. Although investors … fails to generate any significant returns when liquidity risk is accounted for. Our work helps understand the beta premium …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …