Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

Average return differences among firms sorted on valuation ratios, past investment,
profitability, market beta, or idiosyncratic volatility are largely driven by differences in …

In this paper, we consider the price effects of risk disclosure. We develop a model in which
investors are uncertain about the variance of a firm's cash flows and the firm releases an …

The environmental pollution of lake systems due to anthropogenic factors is of growing
concern worldwide. Manzala Lake is the largest northern coastal-deltaic lakes of Egypt and …

This paper explores the links between firms' voluntary disclosures and their cost of capital.
Existing studies investigate the relation between mandatory disclosures and cost of capital …

We propose a new approach for estimating expected returns on individual stocks from a
large number of firm characteristics. We treat expected returns as latent variables and apply …

This paper studies the cross-sectional risk–return trade-off in the stock market. A
fundamental principle in finance is the positive relation between risk and expected return …

Whether and how accounting information quality affects the cost of capital has been a matter
of much debate. We contribute to this debate by linking accounting information quality to …

A better understanding of the relationships between heavy metal pollution and sediment
sources in different aquatic environments of estuary is needed. The purpose of this paper is …

Cost-of-capital assessments with factor models require quantitative forward-looking
estimates. We recommend estimating Vasicek-shrunk betas with 1–4 years of daily stock …