We exploit cross-sectional variation in the predictable changes in asset volatility following corporate acquisitions to identify the effect of business risk on capital structure. We find that post-merger changes in leverage and cash holdings are strongly predicted by expected asset volatility...

Using various indices of economic and financial uncertainties, we document a new stylized fact about the beta anomaly: the negative relation between beta and alpha exists in low-uncertainty periods but not in high uncertainty periods. We show that this finding cannot be explained by sentiment,...