I thank Karl Diether for research assistance. I thank Malcolm Baker, Gene Fama, Ken French, and Jeff Wurgler for supplying data. I thank Eugene Fama and seminar participants at the London School of Economics, New York University Stern School, and the University of Chicago for helpful comments. I gratefully acknowledge support from the Alfred P. Sloan Foundation, the Center for Research in Secur...

Employing a new proxy for liquidity, this paper examines its impact on stock returns in the context of the Fama-French framework. We augment the Carhart four-factor model with a liquidity factor and employ individual and system regression techniques. Using an extensive dataset drawn from the Australian equities market, we find a significant illiquidity premium and evidence that liquidity explai...

We analyze the trading activity in an Internet chat room with approximately 1,300 participants. Traders make posts in real time about their activities. We find these traders are more skilled than retail investors analyzed in other studies. 55% make profits after transaction costs, and they earn $153 per trade. Traders hold their winners 25% longer than their losers. They have statistically sign...

We demonstrate, using data for the period 1954-2003, that di¤erences in exposure to consumption risk explains cross sectional di¤erences in average excess returns (cost of equity capital) across the 25 benchmark equity portfolios constructed by Fama and French (1993). We use yearly returns on stocks to take into account well documented within year deterministic seasonal patterns in returns, mea...

The channels belonging to the KCNQ gene family consist of 5 different subtypes, which assemble as pentameric channels. The KCNQ2-5 subunits are highly expressed in the ventrobasal thalamus (VB) where they function primarily as KCNQ2/3 heteromers. They underlie an outward potassium (K+)-current, called M-current (IM), which provides a hyperpolarizing drive, thus regulating neuronal excitability....

The present study examined the different levels of (im)politeness strategies in expressing request, apology, and refusal speech acts across intermediate and advanced Iranian EFL learners to identify their attitudinal ratings of their produced structures in terms of pragmatic success and (im)politeness mannerism. A discourse completion test including 2 Likert scales on attitudinal appropriatenes...

I establish that inflation risk is priced in the cross section of stock returns: Stocks that have low returns during inflationary times command a risk premium. I estimate a market price of inflation risk that is comparable in magnitude to the price of risk for the aggregate market. Inflation is therefore a key determinant of risk in the cross section of stocks. The inflation premium cannot be e...

This paper investigates the relationship between nonprofit board composition and organizational efficiency. We test the hypothesis advanced by Fama and Jensen (1983) that the presence of major donors on the board and on key monitoring committees is associated with greater organizational efficiency due to donor monitoring activities. The multivariate analysis shows that the ratio of total expens...

We study the link between credit spreads and the heterogeneous formation of expectations in an economy where agents with different perception of economic uncertainty disagree about future cash flows of a defaultable firm. The intertemporal risk-sharing of disagreeing investors gives rise to three testable implications: First, larger belief heterogeneity increases credit spreads and their volati...