We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...

The level of firm investment, along with firm profitability, has been shown to be empirically powerful asset pricing factors in the US and other markets. The q-factor model of Hou, Xue, and Zhang (2014), and the 5-factor model of Fama and French (2014a), both rely on factors capturing the...

In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be...

We document characteristics-based return anomalies in a large cross-section (4,000) of crypto assets. Cryptocurrency returns exhibit momentum in the largest-cap group, reversals in other size groups, and strong crypto value and network adoption premia, from which we derive two novel factors to...

Public companies report “the most significant factors that make” their common stock ”speculative or risky” in section “Item 1A. Risk Factors” of their annual filings. This paper uses textual analysis to estimate common risks from Item 1A texts and study these risks' effect on public...

In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together with the default correlation between the two. Indeed, the possible default of the assignor might impact the payoff...

We study factor pricing and market integration across major asset classes. Factor models specializing in one asset class have limited pricing power for other asset classes. Thus, we reject perfect market integration. However, an optimal integrated factor model across asset classes can...