

We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
Journal of Financial Economics, 145(1), 217-238
The Review of Financial Studies, 35(7), 3272–3302
Journal of Financial Economics, 134 (1), 192-213.
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...