Ungeheuer and Weber (2021, UW) propose a Comove measure, the fraction of weekly stock returns that are in the same direction as the market, and document that Comove positively predicts cross-sectional stock returns. We show that Comove is strongly negatively correlated with idiosyncratic...

Motivated by the evidence that investors tend to be overly optimistic about low-priced stocks, we examine how nominal price affects the cross section of stock returns. To circumvent the mechanical inverse relationship between price and expected return, we construct a novel way of examining the...

Traditional value measures performed poorly in the past three decades. We reevaluate the value strategy using a new measure—the ratio of cash-based operating profitability to price (COP/P)—and find a zero-investment portfolio that buys the highest-COP/P stocks and shorts the lowest-COP/P...

We examine the relation between investor attention and financial market anomalies. We find that anomaly returns are higher following high-attention days. The result is robust after controlling for risk factors, the effect of news, and in a natural experiment setting in which the rounding of...

We investigate the economic consequences of stock ranking using a novel natural experiment in which stock ranking is due to the rounding of stock prices. The results show that ranking a stock in a more salient place can increase its return volatility, trading volume, liquidity, and cause higher...

This paper uses China's Split-Share Structure Reform to overcome methodological limitations that have hampered previous understanding of the slope of long-term demand curves. The reform mandated the conversion of non-tradable local A-shares to tradable status and increased A-share float, but had...