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Digesting Anomalies: An Investment Approach
An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. AExpand
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Market Frictions, Price Delay, and the Cross-Section of Expected Returns
We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its price responds to information. The most delayed firms command a large return premiumExpand
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Industry Information Diffusion and the Lead-Lag Effect in Stock Returns
I argue that the slow diffusion of industry information is a leading cause of the lead-lag effect in stock returns. I find that the lead-lag effect between big firms and small firms is predominantlyExpand
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Industry Concentration and Average Stock Returns
Firms in more concentrated industries earn lower returns, even after controlling for size, book-to-market, momentum, and other return determinants. Explanations based on chance, measurement error,Expand
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The Implied Cost of Capital: A New Approach
We use earnings forecasts from a cross-sectional model to proxy for cash flow expectations and estimate the implied cost of capital (ICC) for a large sample of firms over 1968–2008. The earningsExpand
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Do Investors Overvalue Firms with Bloated Balance Sheets?
If investors have limited attention, then accounting outcomes that saliently highlight positive aspects of a firm's performance will promote high market valuations. When cumulative accounting valueExpand
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What Factors Drive Global Stock Returns?
Using monthly returns for over 27,000 stocks from 49 countries over a three-decade period, we show that a multifactor model that includes factor-mimicking portfolios based on momentum and cashExpand
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Accruals, cash flows, and aggregate stock returns
This paper examines whether the firm-level accrual and cash flow effects extend to the aggregate stock market. In sharp contrast to previous firm-level findings, aggregate accruals is a strongExpand
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A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
We examine the role of investor attention in explaining the profitability of price and earnings momentum strategies. Using trading volume and market state to measure cross-sectional and time-seriesExpand
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Have We Solved the Idiosyncratic Volatility Puzzle
We propose a simple methodology to evaluate a large number of potential explanations for the negative relation between idiosyncratic volatility and subsequent stock returns (the idiosyncraticExpand
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