Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

Financial constraints are fundamental to empirical research in finance and economics. We
propose two tests to evaluate how well measures of financial constraints actually capture …

Micro-and macro-level evidence indicates that fluctuations in idiosyncratic uncertainty have
a large effect on investment; the impact of uncertainty on investment occurs primarily through …

We construct an index of firms' external finance constraints via generalized method of
moments (GMM) estimation of an investment Euler equation. Unlike the commonly used KZ …

The value anomaly arises naturally in the neoclassical framework with rational expectations.
Costly reversibility and countercyclical price of risk cause assets in place to be harder to …

SMEs play an important role in the economic development of Mozambique. Access to
finance is important for the growth of SMEs. Thus, the purpose of the study was to establish …

We construct a dynamic general equilibrium production economy to explicitly link expected
stock returns to firm characteristics such as firm size and the book-to-market ratio. Stock …

We study the relative risk of value and growth stocks. We find that time-varying risk goes in
the right direction in explaining the value premium. Value betas tend to covary positively …

Through the interaction between financial constraints and R&D, I study two asset-pricing
puzzles: mixed evidence on the financial constraints–return relation and the positive R&D …

By considering yearly production growth rates for several manufacturing industries in more
than 100 countries during (roughly) the last 40 years, we show that industries that are more …