This paper examines the relation between equity portfolio diversification choices of individual investors and stock returns. Using a six-year panel (1991-96) of individual investors, I find that stocks with less diversified individual investor clientele earn higher returns. A zero cost portfolio...

I show the new fact that Idiosyncratic volatility significantly predicts the convenienceyield. This fact poses a puzzle with current safe asset theories. I develop a new theorythat reconciles this puzzle - a theory I label Corporate Asset Pricing (CAP). CAPexplains 29% of future convenience...

I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...

This study examines the relationship between carbon risk and stock returns in Korea. We find that a firm’s carbon intensity is a significant determinant of its cross-sectional stock returns. Stocks with high exposure to carbon risk exhibit higher average returns. The abnormal return associated...

An international portfolio allows simultaneous investment in both domestic and foreign markets. It hence has the potential for improved performance by exploiting a wider range of returns, and diversification benefits, than portfolios investing in a single country. However, to obtain the most...

I test theories of regulation using comprehensive datasets on regulatory changes, equity returns, and firm fundamentals. I find that firms in industries subject to more regulation earn significantly higher returns than firms in deregulated industries. A long-short regulatory portfolio earns 9.8%...

We document the asset-pricing implications of the model-free option-implied dependence (MFID); a measure that exhibits information on linear and non-linear dependence between random variables. We show that stocks with high exposure to MFID generate significantly higher risk-adjusted returns in...

Traditional machine learning methods have been widely studied in financial innovation. My study focuses on the application of deep learning methods on asset pricing.I investigate various deep learning methods for asset pricing, especially for risk premia measurement. All models take the same set...

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock-specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton's intertemporal capital asset pricing model to test...