distinguish between risk- and mispricing-based anomalies. …

question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long … is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure … use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted …

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

foreign financial sector that appears to have met U.S. demand for safe and liquid investment assets by expanding its supply of …

-section of cash flows and the time-varying risk premium. Value firms are temporarily low productivity firms, which will … eventually experience high cash flows. The present value of these temporally distant cash flows is sensitive to risk premium … higher cash-flow growth. The data also show that value stock returns are more sensitive to risk premium movements, as …

In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the … generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity …

flows to fund investment), and that the sensitivity of investment to internal cash flows is higher for firms that report …

A fundamental tenet of investment theory and the traditional theory of monetary policy transmission is that investment …, at best, for a substantial interest-rate effect on investment. In this paper, we examine the sensitivity of investment … management as well as those that do not expect to borrow over the coming year. Perhaps more surprisingly, we find that investment …

Do firms use credit line drawdowns to finance investment? Using a unique dataset of 467 COMPUSTAT firms with credit … with theory, our results confirm that firms use drawdowns to sustain investment after an idiosyncratic liquidity shock … investment increased to 16 percent. The effect was even larger for smaller and financially constrained firms. We find only …