Non-financial performance measures, such as Environmental, Social, and Governance (“ESG”) measures, are potentially leading indicators of firms' financial performance. I draw on the prior academic literature and the concept of ESG materiality to develop new corporate governance and ESG...

''A three-factor model using momentum and cashflow-to-price factors explains 14 asset pricing anomalies.'' Our model-mining experiment provides a backdrop to evaluate such claims. We construct three-factor linear pricing models that match return spreads associated with as many as 14 out of 27...

"A three-factor model using the standardized-unexpected-earnings and cashflow-to-price factors explains 15 well-known asset pricing anomalies." Our data-mining experiment provides a backdrop against which such claims can be evaluated. We construct three-factor linear pricing models that match...