We document challenges to the notion of a trade-off between systematic risk and expected
returns when analyzing the empirical ability of stock characteristics to predict excess returns …

Our evidence suggests that the profitability of volatility timing strategies applied to equity
factor portfolios disappeared when changes in the trading and information environment in …

The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios
(associated with four different portfolio groups) is not appropriate. In fact, their single‐factor …

This paper undertakes a horse races style comparison of the efficacy of a range of
multifactor asset pricing models in explaining the cross section of stock returns in African …

We examine the time-series risk-return trade-off among equity factors. We obtain a positive
trade-off for profitability and investment factors, which is consistent with the APT. Such …

We provide new evidence on the role of real money balances in terms of explaining equity
risk premia by using a rich cross-section of average stock returns (associated with 11 major …

We introduce a new return-momentum indicator that is based on monotonicity of monthly-
return rank order within a lookback period (henceforth abbreviated as MRRO). Based on an …

Abstract Betting-against-beta (BAB) portfolios produce large CAPM alphas. But these
abnormal returns are well explained by equity factors. Operating profitability, investment …

This study investigates group common factors within six anomaly groups using a factor
model with time‐varying coefficients and stochastic volatility. We explore the time‐varying …

This article constructs and examines enhanced global return factors. I focus on three
different enhancement approaches. First, I incorporate information about the covariance …