We study the pricing factor structure of Italian equity returns using 25 years of data. A two-step empirical analysis is provided where first we estimate an unrestricted multifactor model to test if there is any evidence of misspecification. Then, we estimate the restricted model through the...

I present empirical evidence that the TED spread is a priced risk factor in the cross sectional stock returns. Stocks with higher exposure to the change in the TED spread require higher returns, and the value weighted return difference between the high sensitivity portfolio and the low...

We examine whether equity return dispersion, measured by the cross-sectional standard deviation of stock returns, is systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk even after controlling for market, size,...

Whether the credit risk should be priced has been widely debated. We study this issue in the Chinese context, where the financial market has been long dominated by indirect financing. We employ the Merton's (1974) model to measure the credit risk of firms listed on Chinese A-share market...