We develop a firm valuation model with repeated expansion and contraction options to show operating profitability is a … as profitability falls, lowering the firm beta. Consistent with the predictions, operating profitability relates … losers with diverging operating profitability. Corroborating a risk-based explanation, the momentum results remain …

In contrast to prior equity market results, we document that corporate bonds issued by low profitability firms … outperform bonds issued by highly profitable firms. This performance difference is primarily driven by low profitability, low … credit rating firms. This profitability premium is consistent with compensation for default risk and can be explained by …

article, we perform a sensitivity analysis of the pairs trading profitability to its parametrization, employing the daily …

We provide a new explanation for the profitability anomaly along with a battery of supportive empirical tests. Our … profitability and future stock returns, and the relation is stronger in firms with higher growth. The relation arises because less …

We show that public firm profit rates fell by half since 1980. Inferred as the residual from the rise of US corporate … profit rates in aggregate data, private firm profit rates doubled since 1980. Public firm financial returns matched their … fall in profit rates, while public firm representativeness increased from 30% to 60% of the US capital stock. These results …

Operating leverage (OL) and profitability are interrelated determinants of stock returns. We show that the … alternative profitability measures that treat OL differently. Our results extend research linking monetary policy, OL, and … profitability by documenting important time-varying interrelations among these characteristics and returns …

This study provides theory and evidence to demonstrate how relative firm profitability within an industry affects stock …, and that (2) this inverse relation between relative profitability and return sensitivity is more pronounced when there is … the two fundamental factors that contribute to profitability – cost efficiency and market share – each exhibit an effect …

The theory of two price markets of Cherny and Madan (2010) yields closed forms for bid and ask prices. Defining profits … latter turns out to be a measure of risk exposure at the quantile level. The theory is illustrated on unhedged exposures in …

enhanced in a way that not only survives common risk adjustments but also maintains profitability after trading costs. For our …