Unlike other debt, most bank loans have floating rates mechanically tied to monetary policy
rates. Hence, monetary policy can directly affect the liquidity and balance sheet strength of …

This paper examines the pricing of volatility risk and idiosyncratic volatility in the cross-
section of corporate bond returns for the period of 1994–2016. Results show that bonds with …

We propose a new approach for estimating expected returns on individual stocks from a
large number of firm characteristics. We treat expected returns as latent variables and apply …

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 …

Cryptocurrencies have been historically characterised by large price swings and inherent
volatility at a much higher scale than traditional financial assets. Understanding the …

Whether and how accounting information quality affects the cost of capital has been a matter
of much debate. We contribute to this debate by linking accounting information quality to …

We decompose the returns of five well‐known anomalies into cash flow and discount rate
news. Common patterns emerge across the five factor portfolios and their mean‐variance …

This article discusses the role of volatility in the context of systemic risk in finance. The main
argument is that volatility transmits risks within the financial system and beyond, shaking the …

Publicly listed firms have discretion to disclose (or not) advertising spending in their annual
(10-K) reports. The disclosure of advertising spending can provide valuable information …

How does the interaction of uncertainty and R&D impact corporate investment? We provide
evidence that R&D significantly increases corporate investment responsiveness to PVGO …