We introduce a measure of regret for stock market investors and investigate its cross-sectional asset pricing implications. We propose a theoretical framework in which investors experience regret due to not achieving the highest possible return in the same industry with their stock investment,...

Equal-weighted (EW) portfolios have outperformed their value-weighted (VW) counterparts over multiple decades in various investment universes. This paper investigates the long-term evidence or the EW–VW return spread in a broad U.S. equity universe across multiple factor models....

Investors face similar macroeconomic risks and opportunities regardless of their individual investment preferences. To best navigate growth and inflation concerns, we propose building macro factor-mimicking portfolios diversified across asset classes and style factors. We focus on the macro...

We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four definitions of aggregate global idiosyncratic volatility...