Prior research finds that stocks earn significantly higher returns in January compared to other months, with the effect most often attributed to tax-motivated selloffs in December leading to price reversion in January. We examine how patterns in turn-of-the-year performance impact prominent...

This paper examines relative risk aversion in the framework of a three moment asset pricing model that accounts for skewness. Accounting for skewness in calculating risk aversion gives a more accurate series of estimates of risk aversion and helps to reconcile the wide disparity in risk...

Recent research has studied the impact of asymmetry on cost of capital estimation, performance evaluation, and optimal portfolio composition. This study examines the impact of skewness preference on the risk premium of a gamble. The three-moment analogue of the Pratt-Arrow risk premium is...

Litigation finance is a rapidly growing niche asset class focused on debt and equity investments in litigation claims and law firms. We find that in-sample returns in the space have been in excess of 20% annually with limited correlation to other investment areas. This apparent excess return may...

We examine the time series asset pricing factor returns and their use in a portfolio that varies over time based on an investor's remaining human capital. Using of data for a common set of four different risk factors for the period 1980 to 2013, we show that risk premiums to different factors...

We examine the impact of social norms (individualism, risk aversion, and authoritarian control index) on firm capital structure in the G20 countries from 1995 through 2009. Our results show that increases in individualism increase firm willingness to use debt and decrease the average cost of...