Prior studies find that a strategy that buys high‐beta stocks and sells low‐beta stocks has a
significantly negative unconditional capital asset pricing model (CAPM) alpha, such that it …

We label the degree to which individuals are more optimistic at long horizons relative to
short horizons as the horizon bias. We examine whether time-series variation in the horizon …

Unconditional alphas are biased when conditional beta covaries with the market risk
premium (market timing) or volatility (volatility timing). We demonstrate an additional bias …

We develop a return variance decomposition model to distinguish the roles of different types
of information and noise in stock price movements. We disentangle four components: noise …

With the development of machine learning technologies, predicting stock movements by
analyzing news articles has been studied actively. Most of the existing studies utilize only …

We explore the term structures of claims to a variety of cash flows, namely, US government
bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation …

The percentage of US equity mutual funds that outperform the SPY ETF over the last 30
years decreases substantially as the horizon over which returns are measured is increased …

A stock's market exposure, beta, varies across return frequencies. Sorting stocks on the
difference between low-and high-frequency betas (Δβ) yields large systematic mispricings …

We estimate short-term dividend strip prices from 27 years of S&P 500 index options data
(1996-2022). We use option-implied interest rates when estimating strip prices and longer …

Levered noise occurs when no-arbitrage replication hedges fundamentals but amplifies
price errors. Motivated by our theory, we use widely-available end-of-day OptionMetrics data …