We reexamine the intertemporal risk-return relation. We find a positive risk-return relation by measuring expected returns and conditional variance in a consistent manner using firm fundamentals. As measures of fundamentals, we use earnings and dividends. For the robustness of our results, we...

We examine the dynamic relations among market returns, market (MV), and idiosyncratic (IV) around business cycles. Compared to the conventional view, which treats MV and IV separately, we first find that excess return on the market anticipates negative MV and IV, suggesting market return's role...

We investigate whether market makers with inventory concerns are compensated with subsequent monthly returns in the cross-section. We find a significant negative relation between order flows and monthly returns, “the order flow effect,” suggesting that market makers lower prices for stocks...