This paper tests the idea that financial intermediaries who act as arbitrageurs in the asset market help determine the equilibrium risk of financial assets. They do this by turning “alphas” into “betas”; assets with large abnormal returns attract more arbitrage and covary correspondingly...

Since firms time the stock market through equity net issuance, the direction of net issuance reveals the firm's net present value calculation and an asset pricing model of risk most likely to be used in the calculation. We take this insight to develop a test that infers an asset pricing model...

We propose the bear beta, i.e. the sensitivity of hedge funds to a bear spread portfolio orthogonalized to the market, as a novel way of classifying funds as insurance buyers or sellers. We find that low bear beta funds (insurance sellers) outperform high bear beta funds (insurance buyers) by...

We combine a customized survey and randomized controlled trial (RCT) to study the effect of higher-order beliefs on U.S. retail investors' portfolio allocations. We find that investors' higher-order beliefs about stock market returns are correlated with but distinct from their first-order...