We investigate the nature of cross-sectional asset pricing effects of intangibles. Intangible asset intensity relates strongly positively to stock returns and has more explanatory power than size, value, profitability, and investment. Adding an intangibles factor improves the Fama-French...

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll's measure. The results show that expected bond liquidity and...

We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll's measure. The results show that expected bond liquidity and...