We examine the effect of environment, social, and governance (ESG) score on stock returns
in the United Kingdom (UK). Consistent with Hong and Kacperczyk (2009), Bolton and …

This paper sheds light on the similarities and differences with respect to the presence of
anomalies in the China A-share market and other markets. To this end, we examine the …

Sports betting markets offer a novel laboratory to test theories of cross‐sectional asset
pricing anomalies. Two features of this market—no systematic risk and terminal values …

Equal-weighted (EW) portfolios have outperformed their value-weighted (VW) counterparts
over multiple decades in various investment universes. This paper investigates the long …

Advocates of blockchain technology see a promising future for the innovation and its
application to financial back-office infrastructure. Apart from its role in cryptocurrencies like …

We examine asset class and factor premiums across inflationary regimes. As periods of
deflation, high inflation, and especially stagflation are relatively uncommon in recent history …

Factor investing has been around for several decades, backed by an enormous body of
literature, and yet it is still surrounded by much confusion and debate. Some of the rhetoric …

Abstract Machine learning has become increasingly popular in asset pricing research.
However, common modeling choices can lead to biases and overfitting. I show that group …

We explore the cross-section of factor returns using a sample of 150+ equity factors. Most
factors exhibit a positive premium and a negative market beta in the long run. Factor themes …

Traditional business cycle indicators do not capture much of the large cyclical variation in
factor returns. Major turning points of factors seem to be caused by abrupt changes in …