This paper studies the excess returns on stocks, associated to various company fundamentals on a panel of US stocks from 1979 to 2008. The returns premia are measured using a random coefficient panel data model on the individual stock level. We show that the HML and SMB factors in the Fama and...

Capitalizing on the results in Shapovalova et al. (2011a} and Shapovalova et al. (2011b} on the properties of the stock returns premia, this paper focuses on the practical issues of equity style investment. Company fundamentals are often used to define the so-called style scores, from which the...

Many papers claim that value and size fundamentals (book-to-price ratios and market capitalization) yield positive expected return premia because they are proxies for systematic risk factors in conditional and/or multi-factor CAPM. Much of empirical evidence to support this idea comes from...

Stocks with low market price relatively to the accounting fundamentals of the issuing company (value stocks) have higher expected returns than those with high market price (growth stocks) for the same level of systematic risk. The same holds for the stocks of small companies, compared to...

We propose a CVA model capturing the wrong way risk that is not product-specific and is suitable for large-scale computations. The model is based on a doubly stochastic default process with the default intensities proxied by credit spreads. Unlike in other models, the CVA is a function of the...