We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting
stock market returns. Rather than summing the parts of stock returns, we suggest summing …

We study the link between institutional ownership and firms' diversification strategy, value
and risk. Our sample includes US-listed firms with segment data from 1998 to 2012. We find …

This paper investigates whether corporate insiders trade when asymmetric information is
high, using data on US corporate insider transactions between 1986 and 2012. We …

Most of the literature on the idiosyncratic volatility anomaly has focused on plausible
explanations for it based on investor preferences, investor irrationality or market …

We extract cycles from the term spread and study their role for predicting the equity premium
using linear models. When properly extracted, the trend of the term spread is a strong and …

There is strong evidence showing that stocks with higher levels of idiosyncratic risk provide
relatively lower returns than stocks with lower levels of it. This paper points out that this …

Any time series can be decomposed into cyclical components fluctuating at different
frequencies. Accordingly, in this paper, we propose a method to forecast the equity premium …

The idiosyncratic volatility (IVOL) anomaly, documented in Ang, et al.(2006), has garnered a
great deal of attention in the literature. Yet questions remain regarding the robustness and …

The estimate of beta depends on some factors like the market portfolios choice, the time
horizons and the return intervals. Therefore, this paper uses 27 alternative methods to …

Our study offers intriguing evidence on the much-debated idiosyncratic volatility (IdVol)
puzzle from a climate risk perspective. Using a set of US-listed stocks from July 2010 to …