We investigate the role of economic uncertainty in the cross-sectional pricing of individual
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

The capital market in China has progressed rapidly within the realm of ESG and
sustainability. This study investigates whether and how ESG investing works in China. The …

This paper documents a significantly negative cross-sectional relation between left-tail risk
and future returns on individual stocks trading in the US and international countries. We …

Purpose This study aims to provide a comprehensive overview of asset pricing research and
identifies the general research trends in the area. The study also aims to provide future …

This paper uses the global systemic shock associated with the outbreak of the novel
coronavirus Covid-19 to assess the risk-return relationship in the cross-section of real estate …

This paper studies the mediating role that political connections play in the relationship
between cost of equity and political risk (ie, partisan political conflict and economic policy …

We offer a new social approach to investment decision making and asset prices. Investors
discuss their strategies and convert others to their strategies with a probability that increases …

We find that among stocks dominated by retail investors, the lottery anomaly is amplified by
high investor attention (proxied by high analyst coverage, salient earnings surprises, or …

This paper shows that lowrisk anomalies in the capital asset pricing model and in
traditional factor models arise when investors require compensation for coskewness risk …