This paper examines stock liquidity in explaining the mixed relations between financial constraints and stock returns and the pricing of stock liquidity across financially constrained and unconstrained firms. We find a negative relation in liquid portfolios and a positive relation in illiquid...

Labor productivity, measured as the industry-standardized ratio of sales to number of employees, has an ability to predict average stock returns. In the portfolio sort, firms with high labor productivity earn higher expected returns than those with low productivity. The difference in returns is...

Asset turnover, an inside component of profitability in the Dupont analysis, has an ability to predict average stock returns. In the portfolio sort, firms with high asset turnover earn high expected returns, which is unexplained by risk-adjusted asset pricing models. In the cross-section, asset...

Employment growth (EG) is likely related to liquidity fundamentals of investment opportunities, firm health, and information environment. This, in turn, implies that liquidity risk may play a role in explaining the relation between employment growth and stock returns. We explain the link between...

Rationally justifying Bitcoin's immense price fluctuations has remained a persistent challenge for both investors and researchers in this field. A primary reason is our potential weakness toward robustly quantifying unquantifiable risks or ambiguity in Bitcoin returns. This paper introduces a...

We examine the liquidity provision premium in cryptocurrency markets using the returns from the short reversal strategy suggested by Nagel (2012). We show that the VIX index, economic policy uncertainty (EPU) index, crash risk, tail risk, and the innovations of Tether liquidity can predict the...

Shareholder litigation risk, measured using the staggered adoption of universal demand (UD) laws in 23 states from 1989 to 2005, has a negative effect on stock returns. Using a difference-in-differences design, we find that, following the passage of the laws, firms have lower stock returns....