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A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) suggests a shared story for several averagereturn anomalies. Specifically, positive exposures to RMW and CMA (stock returns that behave like those of profitable firms that invest conservatively) capture the high average returns associated with low market β, share repurchases, and low stock return volatility. Conversely, negative RMW and CMA slopes (like those of relatively unprofitable firms that invest aggressively) help explain the low average stock returns associated with high β, large share issues, and highly volatile returns.

Using survey data on expectations of stock returns, we recursively estimate the degree of extrapolative weighting in investors’ beliefs (DOX). In an extrapolation framework, DOX determines the relative weight investors place on recent-versus-distant returns. DOX varies considerably over time. The ability of price-scaled variables to predict the year-ahead equity premium is contingent on DOX. High price-scaled variables are followed by lower returns only when DOX is high. Our findings support extrapolation-based theories of the stock market and the interpretation of price-scaled variables as mispricing proxies. Our results help answer a critical question: when will an overvalued asset experience a correction?

Many studies report that the size effect in the cross-section of stock returns disappeared after the early 1980s. This paper shows that its disappearance can be attributed to negative shocks to the profitability of small firms and positive shocks to big firms. After adjusting for the price impact of profitability shocks, we find a robust size effect in the cross-section of expected returns after the early 1980s. Our results highlight the importance of in-sample cash-flow shocks in understanding cross-sectional return predictability.

Voice-enabled self-service on the telephone is so ubiquitous that it almost seems it must have been inevitable. But the voice industry would not exist in its present form without the inspired leadership of those individuals who had the vision to develop early voice browsers and voice browser standards. Outstanding among these was Scott McGlashan, the dynamic and brilliant editor of the foundational VoiceXML 2.0 specification. McGlashan died this year after his short struggle with pancreatic cancer. He will be deeply missed, not only for his technical work, but also for his leadership and spirit. McGlashan's life reminds people of the impact that a single individual can have.

The voice industry would not exist in its present form without the inspired leadership of those individuals who had the vision to develop early voice browsers and voice browser standards. Outstanding among these was Scott McGlashan, the dynamic and brilliant editor of the foundational VoiceXML 2.0 specification. McGlashan's standards work had a firm grounding in science. He received master's and PhD degrees in cognitive science from the University of Edinburgh and participated in the European VERBMOBIL and SUNDIAL projects that laid the technical foundations for much of today's speech standards and technology. Scott's contributions to the standards out of which the industry grew are enormous. His energy, extraordinary leadership, and enthusiasm for speech applications are unique and irreplaceable. He will be greatly missed.