Banerjee, Kaniel, and Kremer (2009) claim that specific models of disagreement (their Examples 3 and 4) illustrate positive return autocorrelation (price drift). Based on a formal definition of equilibrium with heterogeneous beliefs, we prove that these examples do not actually generate price...

We find that realized skewness is a significant indicator of returns across a range of assets from different asset classes, namely commodities, government bonds, equity indices and currencies. Taking on skewness risk is broadly compensated within, but more substantially across asset classes....

Due to their short lifespans and migrating moneyness, options are notoriously difficult to study with the factor models commonly used to analyze the risk-return tradeoff in other asset classes. In-trumented principal components analysis (IPCA) solves this problem by tracking contracts in terms...

We present resiliency as a measure of liquidity, and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency and, using it, find a significant non-resiliency premium that ranges from 33 to 57 basis points per month. The...

Investors' perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, inducing mechanical underperformance on ex-dividend days. Newspapers are more pessimistic on these days, consistent with mistaking the index for a return....

We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns of writing delta-hedged calls are negatively correlated with current stock price, firm profit margin and profitability, but positively correlated with firm cash holding, cash flow variance,...

We study return predictability using a model of speculative trading among relatively overconfident competitive traders who agree to disagree about the precision of their private information. Although traders apply Bayes Law consistently, returns are predictable. In addition to trading on...

Using computational linguistic techniques, we build an investor sentiment indicator extracted from the content of the electronic French press specialized in Financial and economic news for companies of the CAC40 index. We test the relationship between this indicator and abnormal returns...

These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

We introduce a non-linear pricing model of individual stock returns that defines a ”stickiness” parameter of the returns. The pricing model resembles the capital asset pricing model (CAPM) used in finance but has a non-linear component inspired from models of earth quake tectonic plate...