My Dissertation on volatility and returns
Idiosyncratic volatility and returns by Ang, Hodrick, et al
Sophie Ni on options and returns
Private equity investments and returns (Moskowitz and Vissing-Jorgensen)
Leverage and Returns (Penman, Richardson, and Tuna, 2007)
Mutual Funds and Returns (Carhart, Wermers, Malkiel)
Hodrick's book on Currency Returns
Dimson, Marsh and Staunton on World Country Returns
Harvey and Erb on Futures Returns
Campbell, Hilscher, and Szilagyi on Financial Distress Risk
Movie Returns (DeVany and Walls)
Sharpe and Amromin on Volatility and Returns over Time
IPO returns (Jay Ritter's website)
Analyst Disagreement (Diether, Malloy, and Scherbina (2002))