I suggest a characteristic-based covariance model that directly links the predetermined fi rm characteristics to time-varying covariance risk. Using a large cross section of individual stock-level data, I parsimoniously estimate both conditional expected returns and conditional covariances as...

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative...

Despite considerable empirical evidence reporting a negative relationship between net share issuance and subsequent returns, it remains unresolved whether this anomaly is explained by risk or investor irrationality. This paper examines the net share issuance anomaly using seasoned equity...

Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

This paper investigates whether industry affiliation matters to implementing industry momentum strategies. After discriminating between relevant and redundant industries it shows that only a subset corresponding to less than 50% of the overall market capitalization generates significant momentum...

We investigate how systematic, continuous, and discrete (jump) risk affects the cross section of expected stock returns in Southeast Asia. Using the latest econometric techniques and a high-frequency dataset, we construct two high-frequency betas associated with intraday continuous and...

This paper examines the cross-sectional relation between leverage and future stock returns. Prior research documents a puzzling negative correlation. We show that it is largely caused by firms' use of internal financing when having significant off-balance-sheet operating assets due to...