Contrary to basic finance principles, high-beta and high-volatility stocks have long
underperformed low-beta and low-volatility stocks. This anomaly may be partly explained by …

Traditional capital structure theory predicts that reducing banks' leverage reduces the risk
and cost of equity but does not change the weighted average cost of capital, and thus the …

Selling financial investments with insurance or lottery characteristics should earn positive
long-run premiums if investors like positive skewness enough to overpay for these …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

On implementation, IFRS 9 increases credit loss (impairment) charges and reduces after-tax
profits of banks. This makes retained earnings and hence capital resources lower than what …

Higher-beta and higher-volatility equities do not earn commensurately higher returns, a
pattern known as the risk anomaly. In this paper, we consider the possibility that the risk …

We propose a sentiment measure jointly derived from out-of-the-money index puts and
single stock calls: implied volatility (IV-) sentiment. In contrast to implied correlations, our …

At a time when interest rates are still at historically low levels and the equity market seems
richly valued, a growing number of investors are seeking alternative sources of return. One …

This compelling book examines the price-based revolution in investing, showing how
research over recent decades has reinvented technical analysis. The authors discuss the …

Traditional academic literature has relied on so-called “limits to arbitrage” theories to explain
why investment managers are unable to eliminate the effects of investor “irrational” …