Even though stock returns are not highly autocorrelated, there is a spurious regression bias
in predictive regressions for stock returns related to the classic studies of Yule (1926) and …

While recent studies document increasing idiosyncratic volatility over the past four decades,
an explanation for this trend remains elusive. We establish a theoretical link between growth …

Because of upward trends in research and development activity, accounting measures of
financial distress have become less accurate. We document that (1) higher research and …

Recent empirical studies use the returns of attribute-sorted portfolios of common stocks as if
they represent risk factors in an asset pricing model. If the attributes are chosen following an …

Pending changes in lease accounting standards will require firms to recognize obligations
that have historically been kept off-balance-sheet (OBS). We examine the implications of this …

If expectations about a stock’s return are dependent through time, then variables like dividend
yields and yield spreads can appear to be better at predicting returns than they actually are…

This paper examines time-series forecast errors of expected returns from conditional and
unconditional asset pricing models for portfolio and individual firm equity returns. A new result …

This paper examines mutual fund managers' ability to time market-wide liquidity. Using the
CRSP mutual fund database, we find strong evidence that over the 1974–2009 period, …

Depending on their location, outliers in returns can substantially bias ordinary least-squares
estimates of beta. We introduce a new beta estimate that is resistant to outliers that cause …

This paper studies the estimation of asset pricing model regressions with conditional alphas
and betas, focusing on the joint effects of data snooping and spurious regression. We find …