a r t i c l e i n f o This paper reexamines the liquidity effect on stock expected returns in the NYSE over the period 1926–2008, the pre-1963 period, for which there is a lack of research, and the post-1963 period. The results from the entire sample of 1926–2008 show that expected returns increase with the stock level illiquidity. However, illiquidity level has explanatory power in the cross-s...

This paper examines whether the overall market risk, along with risks re ecting uncertainty related to the long run dynamics of market cash ows (dividends) and discount rates (returns), price average returns on single-sorted portfolios in the Greek stock market. Our results suggest that a two-beta intertemporal capital asset pricing model explains half of the cross-sectional variation in averag...

The prevention of underage drinking and related outcomes focuses on strengthening protective factors. Using data from the National Longitudinal Study of Adolescent Health (N = 3,862), the authors examine the effects of protective factors from three domains of adolescents’ lives (individual, familial, and extrafamilial) on experiencing negative consequences of alcohol use, while controlling for ...

This paper explores some issues of model risk in asset pricing, in particular timeinconsistency. Since Ho and Lee (1986), a new class of no-arbitrage models have become increasingly popular both in the asset pricing literature and in the Þnancial industry. These models are said to allow for a perfect Þt of the term structure of the interest rates. In these models the current yield curve is an i...

Background/Aims: What are the implications of drinking with parents (DWP) on adolescents’ drinking behavior? We expanded the meagre body of research on this controversial issue by assessing the association between the frequency of DWP and adolescent high-risk drinking, taking a number of parental factors into account. Method: Data stemmed from a subsample of 14–17-year-old current drinkers (n =...

Technology has been the engine of growth for the United States economy over the last decade, and it is reasonable to expect that appropriate selection and management of technology within the firm would continue to be highly critical to its success well into the future. Operations managers constantly struggle to seek answers to the right set of managerial actions that can be used to leverage tec...

Background: To determine the prevalence of depression among Japanese people with rheumatoid arthritis (RA) and explore the relationships between depression and an array of variables. Methods: Nation-wide, cross-sectional online survey (n = 500) of people with RA including the Patient Health Questionnaire (PHQ-9) to measure the presence and severity of depressive symptoms were performed. Results...

This paper investigates whether the skewness of firm fundamentals is informative about future firm performance and stock returns. We present two distinct preference-free theoretical models of firm fundamentals, both of which imply a positive relation between the skewness of firm fundamentals and expected stock return. Consistent with this implication, we show empirically that the skewness measu...

In this supplementary appendix, we use a numerical example to illustrate the model’s predictions for the same measures of attention, portfolio dispersion, and performance as the ones we measure in the data. The goal of this exercise is to confirm that the model makes the same qualitative predictions for these observables as for the slightly different measures of attention allocation, portfolio ...

This paper provides a unified setting for factor models applied to panels of qualitative observations. This setting includes as special cases the single risk factor model and its multiple factor extensions used in credit risk analysis, the stochastic migration models used for rating dynamics, and the factor models for prospective mortality tables. We consider the behavior of these models when t...