We use institutional trading data to examine whether skilled institutions exploit positive abnormal ex-dividend returns. Results show that institutions concentrate trading around certain ex-dates, and earn higher profits around these events. Dividend capture trades represent 6% of all...

The authors study whether the pricing of systematic factors depends on the investment horizon over which risk is measured. Market beta and Fama--French value beta are priced when risk is measured over intermediate horizons, while liquidity beta is priced over short horizons. Alpha on a...

Market portfolio composition substantially affects cost of equity estimates. Adding Treasury securities to an equity-only market portfolio substantially changes both estimated market betas and the estimated market excess return. Though the sign and magnitude of the net impact of these changes is...