We find that the relation between the idiosyncratic volatility (IVOL) anomaly and the beta anomaly is quite different at long horizons than at short horizons. IVOL has a significantly negative relation with subsequent stock returns at the short horizon of up to six months and beta does not...

This paper uses recent advances in Bayesian estimation methods to exploit fully and efficiently the time-series and cross-sectional empirical restrictions of the Cox, Ingersoll, and Ross model of the term structure. We examine the extent to which the cross-sectional data (five different...

Since the reduced forms of the popular measures of asymmetric information in the price formation process are not nested within larger models we cannot evaluate their fit using standard statistical tools. Furthermore, pairwise correlations amongst the measures are small. We benchmark these...