Purpose: The purpose of this paper is to analyze the implications of the risk versus characteristic debate from the perspective of a mean-variance investor. Design/methodology/approach: Expected returns and the variance-covariance matrix are estimated based on various characteristic and risk...

Purpose: This paper aims to hunt for the driving force behind the accrual anomaly and revisit the risk versus mispricing debate. Design/methodology/approach: In sorts of stock returns on abnormal and normal accruals, the authors find that abnormal accruals are the driving force behind the...

Purpose In capital markets, research risk factor loadings and characteristics are considered as opposing explanations for the cross-sectional dispersion in average stock returns. However, there is little known about the performance an investor would obtain who believes either in the...

Purpose Credit market models and the microstructure theory of the ratings market suggest that information provided by credit rating agencies becomes more relevant in recessions when agency costs are high and less relevant in expansions when agency costs are low. The purpose of this paper is to...