Identifying the factors that drive the cross-section of expected returns is challenging for at
least three reasons. First, the choice of testing approach (time series versus cross-sectional) …

We apply a new methodology for identifying pervasive and discrete changes (“breaks”) in
cross-sectional risk premia. Size, value, and investment risk premia have fallen off to the …

This paper proposes a novel quantitative framework with endogenous strategic competition
in heterogeneous concentrated industries. Oligopolies compete strategically for profit …

Timing premia measure how much consumption people are willing to forgo to resolve all
consumption uncertainty immediately. We develop a novel experiment to elicit these …

We derive a general expression for the value of information to a price-taking investor in a
dynamic environment and provide a framework for its estimation. We study the value of both …

This paper introduces the functional principal component analysis approach for
decomposing the panel returns of the anomaly-sorted portfolios. Using the US stock market …

We examined the lead–lag relationship between industry portfolio returns and market
returns in China, the largest emerging market, for the period 1993–2019. Using a …

Errors-in-variables (EIV) biases plague asset pricing tests. We offer a new perspective on
addressing the EIV issue: instead of viewing EIV biases as estimation errors that potentially …

Industries with higher historical business cycle regime Sharpe ratios (RSR) have higher
regime-dependent expected returns. Conditional on whether output gap is positive or …

Abstract In Kyle (1985), the ratio of fundamental variance to price impact measures the value
of information to a monopolist strategic informed investor. We show this same statistic …