We propose new measures of both risk and anticipated return that incorporate the effects of skewness and heavy tails from a financial return’s probability distribution. Our cosine-based analysis, which involves maximizing the marginal Shannon information associated with the Fourier transform...

Asset pricers generally study the pricing of secondary market securities. Using a proprietary, project-level dataset on the film industry, I am able to study a cross-section of expected returns on real investments instead. One area in which we might expect differences is in the pricing of...

Purpose – The purpose of this two‐part series is to consider the role of the “scientific method” (SM) in human understanding, questioning both its consistency in actual practice and its reasonableness as a system of philosophy and action. Design/methodology/approach – Part 2 considers...