We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully accounts for aggregate investment's predictive power for...

We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully accounts for aggregate investment's predictive power for...

This paper shows that firms talking less about the future in their annual reports generate positive abnormal returns of about 5% annually. I measure how much companies talk about the future in their annual 10-K reports by the frequency of the verbs will, shall, and going to. The evidence favors...

The “low risk anomaly” refers to the empirical pattern that apparently high-risk equities do not earn commensurately high returns. In this paper, we consider the possibility that the risk anomaly represents mispricing, not a misspecification of risk, and develop the implications for...

This paper investigates the impact of debt covenant protection on the cross section of equity returns with a firm-level covenant index and four sub-indices. We find that firms with weaker covenant protection (lower covenant index levels) earn significantly higher risk-adjusted equity returns...

Stock pledged loans have become prevalent among large shareholders of listed firms in China. The largest shareholder pledges a greater fraction of her holdings as collateral for credit when the firm is in growth industries, less profitable, not state owned, and has higher leverage. Stock...

The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain the cross-section of US stock returns. If regular beta is replaced by downside beta, the traditional risk-return relationship is restored. The downside betas of low-beta stocks...

We extract individual and company profiles from BoardEx to identify the executive board network and investigate the relationship between social links and asset returns. Our study documents a cross-predictability effect on returns for firms linked through executive board members. Specifically,...

Ethical investments have become increasingly popular over the past years. Ethical funds restrict their investment based on environmental, social and/or ethical criteria. Prior research on the performance of ethical versus non-ethical funds yields mixed results. This paper investigates the...

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price the assets or to determine the cost of...