We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data …

Industry returns cannot be explained fully by well-known asset pricing models. This study reveals that common factors … extracted from industry returns carry significant risk premiums that go beyond the explanatory power of size, book-to-market (BM … market capitalization is below their industry average; (2) the BM effect is an intra-industry phenomenon; (3) a one …

Motivated by the style investing model of Barberis and Shleifer (2003), we examine the industry-wide investment … decisions of retail investors. We find that retail investor industry demand is highly correlated and strongly related to past … industry returns. Moreover, industries heavily bought by retail investors over the past year significantly underperform …

basis and on an industry basis. Industry class is generally considered as an important risk factor. The sample used … relationship with stock returns at the medium and high levered deciles. At the industry level analysis the leverage factor has a …

sample basis and on an industry basis. The main contribution of our work is that we enhance the capital structure studies by … industry level analysis, a significant positive leverage effect is isolated only at Consumer Goods and Health Care industries … in Italy and at Industrial sector in Portugal. In Greece, the industry effect of leverage is almost negligible. …