Beginning with Banz (1981), I review 30years of research on the size effect in equity returns.
Since Fama and French (1992), there has been a vigorous, ongoing debate on whether the …

This essay surveys the extant literature and adds to the empirical evidence on issuance
activity, flotation costs, and valuation effects of security offerings. We focus primarily on …

An empirical q-factor model consisting of the market factor, a size factor, an investment
factor, and a profitability factor largely summarizes the cross section of average stock …

Profitability, measured by gross profits-to-assets, has roughly the same power as book-to-
market predicting the cross section of average returns. Profitable firms generate significantly …

This paper examines the impact of the recent financial crisis (2008–2009) on the relation
between a firm's risk and social performance (SP) using a sample of non-financial US firms …

We test for firm‐level asset investment effects in returns by examining the cross‐sectional
relation between firm asset growth and subsequent stock returns. Asset growth rates are …

The value anomaly arises naturally in the neoclassical framework with rational expectations.
Costly reversibility and countercyclical price of risk cause assets in place to be harder to …

The size premium has been accused of having a weak historical record, being meager
relative to other factors, varying significantly over time, weakening after its discovery, being …

This paper develops a framework for analyzing the impact of macroeconomic conditions on
credit risk and dynamic capital structure choice. We begin by observing that when cash flows …

This paper provides evidence that managers adjust firm advertising, in part, to attract
investor attention and influence short-term stock returns. First, I show that increased …