This study is the first to employ calendar-time portfolio methodology to investigate the impact
of 748 ESG rating changes on stock returns of US firms over 2016–2021. While ESG rating …

Most anomalies fail to hold up to currently acceptable standards for empirical finance. With
microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 …

This study examines whether user-generated content (UGC) is related to stock market
performance, which metric of UGC has the strongest relationship, and what the dynamics of …

This paper explores the determinants of corporate failure and the pricing of financially
distressed stocks whose failure probability, estimated from a dynamic logit model using …

Abstract Machine learning offers empirical methods to sift through accounting datasets with
a large number of variables and limited a priori knowledge about functional forms. In this …

This paper explores commonalities across asset pricing anomalies. In particular, we assess
implications of financial distress for the profitability of anomaly-based trading strategies …

Using hundreds of significant anomalies as testing portfolios, this paper compares the
performance of major empirical asset pricing models. The q-factor model and a closely …

We find a positive cross-sectional relationship between expected stock returns and default
risk, contrary to the negative relationship estimated by prior studies. Whereas prior studies …

Are anomalies strongest when investor sentiment or limits of arbitrage are considered to be
greatest? We empirically explore these theoretically deducted predictions. We first identify …

We explicitly consider financial leverage in a simple equity valuation model and study the
cross‐sectional implications of potential shareholder recovery upon resolution of financial …