We argue that long-horizon return reversals [Debondt and Thaler (1985)] reflect a premium for downside risk. Consistent with this, we find that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth...

We document a strong link between institutional investors and long-run stock return and operating performance following seasoned equity offerings (SEOs). Virtually all of the underperformance is confined to the top two quintiles of stocks with the largest increase in number of institutional...

There is little empirical evidence regarding downside risk in asset pricing, due in part to problems inherent in estimating downside risk. We argue that Berk and van Binsbergen (2016)'s approach to testing asset pricing models using the relation between investor flows and risk-adjusted fund...