Using data on investor beliefs about future Bitcoin prices, we examine how investors form expectations about Bitcoin returns. We find that investors extrapolate from Bitcoin’s past returns, with more weight on recent returns. Compared to institutional investors, such extrapolative beliefs are...

We show that the magnitude of the value premium over 1968-2018 is conditional on states of aggregate market-wide misvaluation. The value premium is 3.42% per month following market-wide undervaluation and 1.70% per month following market-wide overvaluation. When the aggregate market is neither...

In this paper, we explain momentum profits using innovations in aggregate economy-wide default risk. First, we show that momentum returns are positive only during high default shocks and nonexistent otherwise. Second, we present evidence suggesting that a conditional default shock factor is...

We study the liquidity exposures of value and growth stocks over business cycles. In worst times, value stocks have higher liquidity betas than in best times, while the opposite holds for growth stocks. Small value stocks have higher liquidity exposures than small growth stocks in worst times,...

We document a positive relation between the volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. We show that the volatility of liquidity effect is different from previously documented liquidity risks:...

We document a new pattern in stock returns that we call absolute strength momentum. Stocks that have signifi cantly increased in value in the recent past (absolute strength winners) continue to gain, and stocks that have signifi cantly decreased in value (absolute strength losers) continue to...