We conduct a controlled experiment with financial professionals to examine more directly whether value and momentum reflect risk factors or mispricing. By eliciting their perceptions return expectations for company stocks, we identify what constitutes risky investment from the point of investors. Contrary factor hypothesis, stocks are regarded as less risky. However, other factors, such size be...

Cryptocurrency returns are highly nonnormal, casting doubt on the standard performance metrics. We apply almost stochastic dominance, which does not require any assumption about return distribution or degree of risk aversion. From 29 long–short cryptocurrency factor portfolios, we find eight that dominate our four benchmarks. Their cannot be fully explained by three-factor coin model Liu et al....

Abstract I quantitatively evaluate how much of the cross‐sectional return predictive ability a range accounting anomalies can be attributed to firm‐specific stock covariances with market risk factors. Using novel two‐step regression‐based testing method, find robust evidence that factor exposures do not explain meaningful fraction time‐series variations in coefficients anomaly variables. Out‐of...