Sharpe [1992] presented factor models as a practical method for classifying mutual funds
and measuring their performance. Few data are required for the application of Sharpe’s …

This paper develops a novel stock-by-stock measure of investor sentiment which I call
sentiment beta. It is defined as a sensitivity of stock returns to sentiment changes. Using this …

Typical socially responsible investors tilt their portfolios toward stocks of companies with
high scores on social responsibility characteristics and shun stocks of companies associated …

Historically, all IBES data have been adjusted for stock splits. The Summary History data,
however, did not have enough precision to allow researchers to unadjust the data without …

Using a comprehensive sample of 164 domestic equity Smart Beta (SB) ETFs during 2003-2014
period, I analyze whether these funds beat their benchmarks by tilting their portfolios to …

□ Summary History and Actuals–STATSUM and ACTPSUM (Adjusted), STATSUMU and
ACTPSUMU (Unadjusted)□ Recommendations Detail and Summary History–RECDDET …

It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies
because arbitrageurs avoid holding these stocks due to diversification concerns, allowing …

This paper tests whether the dynamics of firm growth metrics, such as sales and investment
growth, are consistent with firms catering to the market by delivering growth when stock …

We analyze a sample of private firms that go public through an initial public debt offering (IPDO)
as an alternative to going public through equity (IPO). Firms that choose the IPDO route …

Typical socially responsible investors tilt their portfolios toward stocks of companies with
high scores on social responsibility characteristics and shun stocks of companies associated …