I investigate the importance of personal savings rate in the cross-sectional pricing of individual stocks. I estimate each stock's monthly-varying sensitivity to the personal savings rate and show that stocks in the lowest savings rate beta quintile generate 6% more annualized risk-adjusted...

Motivated by existing evidence of a preference among investors for stocks with high maximum daily returns, we document that lottery-like payoffs measured by maximum daily returns are almost entirely idiosyncratic. Firm-level cross-sectional regressions and portfolio-sort analyses prove that...

While investors demand a premium to hold stocks with high illiquidity level and risk, they underreact to stock-level liquidity shocks and idiosyncratic liquidity. Built on Baker and Stein (2004) market liquidity model, this paper: (i) reports a significant relationship between market liquidity...

This paper provides evidence to the importance of revisions in expected unemployment rate in the cross-sectional pricing of individual stocks. We introduce a measure of unemployment beta which quantifies monthly-varying stock sensitivity to the innovations in forecasted unemployment rate. Stocks...

Regulations introduce significant fixed costs, and add to operating leverage. “Regulatory operating leverage”, introduced by Ince and Ozsoylev (2020), quantifies the ratio of regulatory fixed costs over a firm's cost structure. Regulatory operating leverage decreases a firm's value through...

Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of "regulatory operating leverage" that reflects the...

This paper decomposes firm-specific monthly-varying Amihud (2002) illiquidity measure into two components: (i) systematic illiquidity; (ii) idiosyncratic illiquidity. While there is a positive and significant relationship between systematic illiquidity and one-month-ahead stock returns, the...

We introduce forecasted unemployment as a state variable that forecasts future macroeconomic activity. Hence, forecasted unemployment is expected to be priced in the crosssection of stock returns. Consistently, we quantify stock exposure to forecasted unemployment and document the importance of...

Regulations introduce significant fixed costs and add to operating leverage. “Regulatory operating leverage”, a measure of fixed regulatory costs, decreases a firm's value through implied cost of equity and profitability channels. Negative value implications of regulatory operating leverage...