Based on an errors-in-variables-free approach proposed by Brennan, Chordia, and Subrahmanyam (1998), we investigate the competing explanatory abilities of alternative multi-factor models in examining various asset-pricing anomalies using Japanese data over 1978-2006. Surprisingly, we find that...

There is substantial evidence indicating that stocks with lottery-like payoffs have lower returns. Unlike existing studies that focus on the role of investors’ behavior in accelerating the lottery premium, we propose that investors’ social preference toward corporate social responsibility...