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 …

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 …

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 …

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 …

This paper constructs a new measure of attention allocation by local investors relative to
nonlocals using aggregate search volume from Google. We first present a conceptual …

Market clichés assert that markets take escalators up and elevators down. The observation
suggests differentiating models for up and down moves. Non-diffusive models allow for this …

The value a director provides to a firm is empirically difficult to establish. We estimate that
value by exploiting the commonality in idiosyncratic returns of firms linked by a director and …