We argue that takeover protections decrease equity value and increase equity risk and stock returns by removing a valuable put option to sell equity when firms approach financial distress. We investigate these claims empirically by looking at the dynamics of equity prices, equity risk, and stock...

This paper analyzes the implications of autoregressive betas in single factor models for the statistical properties of stock returns. It is demonstrated that this assumption alone is sufficient to account for the most important stylized facts of stock returns, namely conditional...

Real estate is an important asset class, but what specifically does real estate contribute to improve diversified stock–bond portfolios? The author decomposes real estate investment trust returns into their factor betas to show that real estate is a hybrid asset class, with returns explained...

Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...