This section went over scope of the standard theory failure.

Finding Alpha Home

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

Sports Betting Returns

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))