Recent studies have shown that the Sharpe ratio and alpha for the momentum strategy can be increased, by scaling the momentum strategy, by the inverse of its historical volatility. However, we find that the higher Sharpe ratio and the alphas of the volatility scaled momentum strategy, in...

We zero in on the expected returns of long-short portfolios based on 120 stock market anomalies by accounting for (1) effective bid-ask spreads, (2) post-publication effects, and (3) the modern era of trading technology that began in the early 2000s. Net of these effects, the average anomaly's...

This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the U.S. and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the...

We estimate the premium associated with time-varying market betas without using rolling betas or instruments. Instead, we use a new conditional-risk factor, which is a market timing strategy defined as the unexpected return on the market times the ex ante price of risk. The factor is a powerful...

This paper explores a channel whereby asset-pricing anomalies can appear as investors alter portfolios according to findings in academic research. In particular, I find that assets with low realized CAPM Alphas outperform those with high ones, but this finding only appears after the CAPM's...

This study reexamines the relation between downside beta and equity returns in the U.S. First, we replicate Ang, Chen and Xing (2006) who find a positive relation between downside beta and future equity returns for equal-weighted portfolios of NYSE stocks. We show that this relation doesn't hold...

We examine empirically and theoretically the relation between firms' risk and their distance to consumers in a production network. We document two novel facts: firms that are further away from consumers have higher risk premia and higher exposures to aggregate productivity. We quantitatively...

I investigate cross-sectional variation in stock returns over the trading day and overnight to shed light on what drives asset pricing anomalies. Margin requirements are higher overnight, and lending fees are typically charged only on positions held overnight. Such institutional constraints and...

We test the pricing of the conditional systematic risk (β) of IML, a traded liquidity factor of the return premium on illiquid-minus-liquid stocks, with its risk premium varying over time. We find a positive and significant risk premium on conditional IML β, which rises in times of financial...

Investor aversion to extreme losses may motivate them to seek out investments perceived to function as a safe haven during times of crisis. In this study, we consider the potential for precious metals to mitigate downside risk when combined with equities, and evaluate the impact on portfolio...