Prior research documents that the DuPont components of return on net operating assets (profit
margin and asset turnover) represent an incremental source of information about the …

This paper reevaluates the cross‐sectional effect of institutional ownership on idiosyncratic
volatility by conditioning on institutions' investment horizon. Prior literature establishes a …

Recent research shows that high return dispersion (RD) is associated with economic conditions
characterized by high discount rates, which are not conducive to growth and investment. …

There are a number of global factors driving capital markets and required rates of return that
help to explain observed capitalization rates or “cap rates” over time, but little is known …

Using four different proxies for a firm's investor base we demonstrate that idiosyncratic risk
premiums are larger for neglected stocks and smaller or economically insignificant for visible …

Using publicly available information on option volume totals, we develop new measures of
directional option-to-stock (O/S) trading volume imbalance. The novel measures are strongly …

We investigate the empirical implications of investors’ heterogeneous preferences for skewness
with respect to the idiosyncratic volatility (IVOL) puzzle, that is, the negative correlation …

We decompose the accrual premium and study its components in the debt and equity markets.
We show that the importance of each accrual component depends on the sample and the …

Purpose – The purpose of this paper is to investigate the connection between the accrual
quality and the growth/value characteristics (and their return premia) at firm level. Design/…

Abstract Theory predicts that in the presence of incomplete information, underdiversified
investors will demand idiosyncratic risk premia (IRP) as compensation for idiosyncratic volatility (…