A four-factor model with two “mispricing” factors, in addition to market and size factors,
accommodates a large set of anomalies better than notable four-and five-factor alternative …

Buying is easier than shorting for many equity investors. Combining this arbitrage
asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the …

An accounting-based earnings manipulation detection model has strong out-of-sample
power to predict cross-sectional returns. Companies with a higher probability of …

Are anomalies strongest when investor sentiment or limits of arbitrage are considered to be
greatest? We empirically explore these theoretically deducted predictions. We first identify …

We are the first to demonstrate the decline in the cross-sectional predictability of country and
industry returns in recent years. We examine 53 anomalies in country and industry indices …

This paper investigates whether so-called anomalous returns predicted by accounting
numbers reflect normal returns for risk or abnormal returns. It does so via a model showing …

Recent studies challenge the standard model risk-return trade-off by showing inverse
predictive power of firm-specific left-tail risk for future returns (ie, left-tail momentum). In this …

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 …

The authors found strong return predictive power for measures related to asset growth in the
MSCI World Universe. The predictive power applies to abnormal returns for up to four years …

Emanating from the influential survey of Barberis and Thaler (2003), this systematic literature
review examines the significant volume of studies on behavioral finance from 36 reputable …