Arguably the most remarkable anomaly in finance is the violation of the risk‐return tradeoff within the stock market: Over the past 40 years, high volatility and high beta stocks in U.S. markets have substantially underperformed low volatility and low beta stocks. We propose an explanation...

Environmental, social, and governance (ESG) objectives have risen to near the top of the agenda for corporate executives and boards, driven in large part by their perceptions of shareholder interest. We quantify the value that shareholders place on ESG using a revealed preference approach, where...

We examine the optimal weighting of four characteristic tilts in US equity markets over the period from 1968 through 2014. We define a “tilt” as a positive-Sharpe-ratio, characteristic-based portfolio strategy that requires relatively low annual turnover and a “trade” as a...

The link between measures of risk and return within the equity market has been very weak over the past 47 years: In the United States, returns on high-risk stocks have cumulatively fallen short of the returns on low-risk stocks, during a period when the equity market as a whole experienced high...

Browser data from an approximately representative sample of individual investors offers a detailed account of their search for information, including how much time they spend on stock research, which stocks they research, what categories of information they seek, and when they gather information...