We document novel results that the lottery effect (lottery-like stocks earn lower returns) is much stronger in liquid stocks. We posit that noise traders dominate the trading of liquid lottery-like stocks, as described in the limits to arbitrage literature, who are attracted by the high jackpot...

We propose that general purpose technologies (GPTs) — a class of technologies that have pervasive impacts on the economy and spill over across countries — are a source of non-diversifiable technology risk in international stock markets. We construct an empirical GPT factor from patent data...

We propose that innovative originality (InnOrig) is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, firms with greater InnOrig are undervalued. We find that firms' InnOrig strongly predicts higher, more persistent, and less volatile...

These are the presentation slides for the paper "Innovative Efficiency and Stock Returns". The abstract of the paper is the following: We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns...

Security regulators charge firms with providing material information about intangible investments to outside investors. Among the many firms that do not report their advertising, 25% are in the top decile of observed advertising. We find that relying on managerial judgment for disclosure...

We introduce a novel multiple hypothesis testing framework for selecting outperforming mutual funds with control of luck, the functional False Discovery Rate “plus”. We show that our method, which incorporates informative covariates to estimate the false discovery rate, gains considerable...

This paper empirically examines the effects of industrial and geographic innovations on firm-level profitability and stock returns due to spillovers. Using the data of U.S. patents and patent inventors, we propose empirical proxies for industrial and geographic spillovers and find a positive...