I review the recent literature on cross‐sectional predictors of stock returns. Predictive
variables used emanate from informal arguments, alternative tests of risk‐return models …

This systematic literature review critically analyzes studies on the determinants of short
selling and the implications for information distribution, real economic decisions, financial …

We study the short-term market reactions of US and European stocks during the beginning
of the COVID-19 pandemic. Employing an event study, we document that stocks react …

We provide data and code that successfully reproduces nearly all cross-sectional stock
return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

We show that short interest is arguably the strongest known predictor of aggregate stock
returns. It outperforms a host of popular return predictors both in and out of sample, with …

The outcome of carbon disclosure, the importance of which has grown remarkably in recent
years to become a strategic decision‐making issue for organisations in today's competitive …

During 2005 to 2007, the SEC ordered a pilot program in which one‐third of the Russell
3000 index were arbitrarily chosen as pilot stocks and exempted from short‐sale price tests …

We find that a substantial portion of short sellers' trading advantage comes from their ability
to analyze publicly available information. Using a database of short sales combined with a …

Prior studies provide conflicting evidence as to whether managers have a general tendency
to disclose or withhold bad news. A key challenge for this literature is that researchers …