Green assets delivered high returns in recent years. This performance reflects unexpectedly
strong increases in environmental concerns, not high expected returns. German green …

We build cross-sections of asset returns for a given set of characteristics, that is, managed
portfolios serving as test assets, as well as building blocks for tradable risk factors. We use …

We create a firm-level ChatGPT investment score, based on conference calls, that measures
managers' anticipated changes in capital expenditures. We validate the score with …

The authors construct ESG strategies that have been shown to outperform in popular
articles. They assess performance benefits to investors when accounting for sector and …

We propose a duration‐based explanation for the premia on major equity factors, including
value, profitability, investment, low‐risk, and payout factors. These factors invest in firms that …

Analyzing several developed and emerging international markets, I test the ability of global,
regional, and local models to explain a large set of 134 cross-sectional anomalies. My main …

This paper develops a comprehensive framework to address uncertainty about the correct
factor model. Asset pricing inferences draw on a composite model that integrates over …

Abstract While Fang and Peress (2009) discover the media coverage premium in the US
market, we find that this anomaly also exists in the Chinese stock market. We further classify …

Rationally justifying Bitcoin's immense price fluctuations has remained a persistent
challenge for both investors and researchers in this field. A primary reason is our potential …

We replicate 469 anomaly variables similar to those studied by using Chinese A-share data
and a reliable testing procedure with mainboard breakpoints and value-weighted returns …