This paper concerns with the effects of including a low-variance factor in an asset pricing model. When a low-variance factor is present, the commonly applied Fama–MacBeth two-pass regression procedure is very likely to yield misleading results. Local asymptotic analysis and simulation...

Reputation is an intangible asset that directly affects the market value of the firm. Reputation is built on the trust established with all stakeholders through past behaviour. Reputation may prove resilient, yet even minor misconducts, if repeated, can lead to downfall. We propose an...