Abstract: In January 2025, CRSP discontinued the existing stock tape used in many published papers. This transition rewrites 9.62% of monthly returns by more than 1 basis point, primarily due to a change in the dividend reinvestment assumption. Analyzing the impact for a comprehensive set of premia in several thousand sorting specifications reveals that, on average, 11.43% of all monthly long-short returns differ by more than 10 basis points — especially in early periods, NBER recessions, and return-based sorts. Reassuringly, average premia and their significance remain largely unaffected, suggesting CRSP changes mainly introduce unsystematic variation without altering key asset pricing conclusions.

Abstract: We propose a novel continuous measure of corporate ”sinfulness” using textual analysis. This measure captures nicely both the cross-sectional and time-series variation in firms’ exposure to sin activities. Our textual approach reveals numerous false positive and false negatives under the conventional industry classification code-based method. We further validate our identification strategy using a state-of-the-art large language model. While equal- and value-weighted sin portfolios do not earn abnormal returns, a sinfulness-weighted portfolio yields an annualized alpha of 5%. We find no evidence of mispricing in sin stocks; instead, they exhibit significantly lower crash risk but higher litigation risk.

Abstract: We propose a novel approach to synthesize presumably information-driven insider trading signals for the cross-section of stocks. We find that the resulting straightforward composite strategy can often forecast returns in a global sample. This predictability is mostly concentrated in equal-weighted portfolios, short holding periods and insider buying signals, and it benefits from worldwide diversification. Cross-country analysis reveals that varying insider trading restrictions between countries have limited explanatory power for the performance of the composite strategy. Overall, the results are consistent with a short-term informational advantage of insiders, which might be due to the skillful interpretation of non-private news.