Purpose The purpose of this paper is to review the insights provided by behavioral finance
studies conducted in the last decade (2006-2015) examining behavioral variables in …

“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 …

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 …

The low (high) abnormal returns of stocks with high (low) beta, which we refer to as the beta
anomaly, is one of the most persistent anomalies in empirical asset pricing research. This …

In this paper, we examine the relationship between geopolitical risk and stock liquidity.
Using an international sample of publicly listed firms, we find that higher geopolitical risk is …

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 study shows that market volatility affects stock returns both directly and indirectly
through its impact on liquidity provision. The negative relation between market volatility and …

We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …

We investigate whether and how ex-ante liquidity risk affects realized stock returns during
the global financial crisis of 2008–2009 in international equity markets. We find that stocks …

This paper investigates the potential diversification benefits of adding Bitcoin from a liquidity
perspective. Using different multivariate GARCH-Type specifications to model the joint …