Trading is not continuous, leading to asynchronous trading times for different assets. This paper analyses the effect of asynchronous trading on an asset’s beta and evaluates its implication for the asset pricing literature. It shows that estimates are heavily downward-biased, with estimated...

Firm characteristics are often missing. We set up an attention-based machine learning model borrowing ideas from state-of-the-art research in natural language processing to understand how characteristics relate to the cross-section of other – observed firm – characteristics and their...