We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern0 of stock returns. For this purpose, we analyze the stochastic dominance efficiency classification of the value-weighted market portfolio relative to benchmark portfolios based on...

We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels generally hold different sets of risky securities. Whereas the traditional...

We examine the hypothesis that stock prices underreact to corporate news and that trading volume and return variability are proxies for latent news flow. Consistent with this notion, we find that that price continuation and potential momentum profits are larger after elevated levels of volume...