asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new … future returns the “Vo/P anomaly.” We find that this Vo/P anomaly is exacerbated by idiosyncratic risk to a greater extent … than by any other arbitrage risk factor, including institutional ownership, analyst coverage, bid-ask spread, and trading …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

evidence suggests that low-duration stocks are also high-value, high-profitability, low-investment and low-risk stocks. In …

's international trade exposure. These findings suggest that global political uncertainty increases investors' aggregate risk aversion …

inattention and evidence of short-horizon underreaction, captures short-horizon anomalies. This three-factor risk …