Portfolios formed on a time-varying basis from the principal components of the factors compiled by Chen and Zimmerman (CZ) and Jensen, Kelly, and Pedersen (JKP) display large and robust out-of-sample Sharpe ratios, implying that the factors strongly forecast the cross-section of stock returns....

We assess whether a VC’s intrinsic commitment to a startup affects investment performance. We proxy for climate change commitment using the political contributions to democrats of the lead VC person on a deal. We find investments by democrats in climate-related startups have 8% higher...

Should we be surprised at the number of “animals” in the “Factor Zoo"? The ability of the CAPM as well as workhorse three- to six-factor models to explain the cross-section of returns varies substantially over time, providing scope for a broad set of factors. We study 205...

Cross-firm predictability among economically linked firms can arise when both firms exhibit own-momentum and their returns are contemporaneously correlated. We show that cross-firm predictability can last up to 10 years, which is hard to reconcile with an interpretation of slow information...

The value a director provides to a firm is empirically hard to establish. We estimate that value by exploiting the commonality in idiosyncratic returns of firms linked by a director and show that, on average, a single director's influence causes variation in firm value of almost 1% per year. The...

I examine how non-uniform information diffusion through distinct networks segments U.S. financial markets. Using changes in newspaper ownership networks, I document that a network link between different geographic areas leads to increased comovement of turnover and returns between stocks...