We discover three significant periodicities in the autocorrelation of intraday stock returns. We demonstrate that (i) the autocorrelation is 64% more negative during afternoons than during mornings, (ii) the autocorrelation is more negative Tuesdays through Fridays than on Mondays, (iii) overall...

We propose a new measure of firm-level climate regulatory exposure based on 10-K filings. Using the 2016 Trump election as an exogenous shock to perceived climate regulatory risks, we identify a positive effect on stock returns for firms with higher climate regulatory exposures; they experience...

The value of an equity investment can be framed as an embedded call option on a firm's assets. The embedded call option creates a non-linear relationship between stock returns and underlying risk factors; however, such option value and the impact of this non-linearity are often underestimated or...

This paper hypothesizes that market liquidity constrains mutual fund managers' ability to outperform, which introduces a higher liquidity risk exposure (beta) for skilled managers. Consistently, we document an annual liquidity beta performance spread of 4% in the cross-section of mutual funds...