A high growth rate in labor hours per worker signals low future stock market returns and high future hiring. In the presence of an increase in the number of labor hours per worker, hiring becomes less responsive to the future discount rate. The growth rate in the number of labor hours per worker...

Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or %u201CPeso%u201D problem. That is, IPO underperformance may result from observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance...

Recent studies suggest that the underperformance of IPO's in the post-1970 sample may be a small sample effect or Peso problem. That is, IPO underperformance may be due to observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance that captures...

We examine net arbitrage trading (NAT) measured by the difference between quarterly abnormal hedge fund holdings and abnormal short interest. NAT strongly predicts stock returns in the cross section. Across 10 well-known stock anomalies, abnormal returns are realized only among stocks...

We examine how industry returns react to various oil shocks developed in Baumeister and Hamilton (2019) and find that oil supply shocks matter as much, if not more, as oil demand and economic activity shocks in driving industry returns. A long-short portfolio that buys (sells) industries...

We find that transient institutions, characterized by diversified portfolios with high turnover, are attracted by the larger liquidity and increase their holdings in firms with higher quality of financial statements and thus boost these stock prices during market downturns. Therefore, transient...

We find that expected return is related to trading volume positively among underpriced stocks but negatively among overpriced stocks. As such, trading volume amplifies mispricing. Our results are robust to alternative mispricing and trading volume measures, alternative portfolio formation...

Short selling efficiency (SSE), measured each month by the slope coefficient of cross-sectionally regressing abnormal short interest on an overpricing score, significantly and negatively predicts stock market returns both in-sample and out-of-sample, suggesting that mispricing gets corrected...

In an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firms' future dividends, and may lead to systematic risk. We construct a technology factor to track the changes in technology prospects measured by U.S....