Applications of risk diversification strategies to conservation problems assume returns do not diminish with greater investment. Not accounting for diminishing returns may cause the allocation of investment to a single or limited target site, which may not reflect the fact that additional...

Recent studies have proposed a large set of powerful characteristics-based factors in the stock market. This study examines the pricing of these factors using portfolios that are formed by directly sorting stocks based on their exposure to these factors. These beta-sorted portfolios have very...

We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the return spread between two beta-neutral portfolios constructed using stocks with high and low margin, to control for stocks' sensitivities to the aggregate funding shocks. Our...