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Replication, P-Hacking, Anomalies, The q-Factor Model, Efficient Markets
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Replication, factor investing, anomalies, microcaps, multiple testing
The q-factor model, anomalies, factor regressions
Asset pricing anomalies, investment, ROE, factor models, investment-based asset pricing
limited attention, market efficiency, investor misvaluation
Q-factor model, investment-based asset pricing, capital markets anomalies, factor regressions
Capital markets, accruals, market efficiency, behavioral accounting, behavioral finance, limited attention
International finance; asset pricing models; common factors
idiosyncratic volatility, cross-section of stock returns, lottery preferences, market frictions
Cross-sectional earnings model, Earnings forecasts, Expected returns, Implied cost of capital, Asset pricing tests
G12, G14
Size effect, Expected stock returns, Profitability shocks, Asset pricing tests
Value Investing, Security Analysis, The Investment CAPM, Efficient Markets
The q5-Model, The q-Factor Model, The Expected Growth, The Investment CAPM, Factor Regressions, Anomalies
The CAPM, Rare Disasters, Measurement Errors, The Consumption CAPM, General Equilibrium
The CAPM, Rare Disasters, Measurement Errors, The Consumption CAPM, General Equilibrium, Approximate Aggregation
The q-factor model, the Q5 model, factor spanning tests, the investment CAPM, factor investing
Bond volatility, Yield spreads, Credit risk, Illiquidity, Decomposition
Systemic risk, Joint default, Predictability, Stock returns, Bond returns
Market-to-book ratio, misevaluation, saliency, industry, cost of equity, profitability dispersion
Comovement, Hedge ratios, Structural models of default, Ratings
Microstructure frictions, return measurement bias, asset pricing, and anomalies
Earnings, Information Content, Return Decomposition, Discount Rate News
Political Uncertainty, Commodity Prices, U.S. Presidential Elections
Credit Risk, Structural Models of Default, Comovement, Corporate Bonds
The q-factor model, the q^5 model, spanning regressions, the investment CAPM
