Intangible assets are absent from traditional measures of firm value despite their growing
importance in firms' capital stocks. We propose a simple improvement to the classic Fama …

Optimal stock portfolios can be adjusted to achieve responsible-investment goals without
sacrificing returns---that is, ESG investing can cost nothing. We find no evidence of an ESG …

The ongoing COVID-19 pandemic has strongly reminded equity investors that rare but
extreme events occur from time to time. At the individual firm level, such events also impact …

The literature has documented that growth stocks are long-duration assets that are sensitive
to shocks to the market discount rate, and value stocks, being short-duration assets, are …

Two duration factors that arise from the downward-sloping term structure of equity returns
explain the value, profitability, and investment premiums. One duration factor captures the …

The recent underperformance of the value effect has prompted investors to question whether
the value effect has lost its potency. In the Chinese A-share market where the value effect …

Value investing delivers volatile returns, with large drawdowns during both market booms
and busts. This paper interprets these returns through an intertemporal CAPM, which …

We show that continued reliance on firms' book-to-market ratios (B/M) in value investing,
despite evidence of increasing noise in B/M, has wide-ranging effects on firms, market …

Our study presents novel evidence on the pricing effectiveness of macroeconomic risks at
the firm level. We employ a sparse PCA approach to aggregate macroeconomic variables …

We propose a novel way to estimate a portfolio's abnormal price, the percentage gap
between price and the present value of dividends computed with a chosen asset pricing …