An empirical q-factor model consisting of the market factor, a size factor, an investment
factor, and a profitability factor largely summarizes the cross section of average stock …

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 …

We construct a “universe” of over 18,000 fundamental signals from financial statements and
use a bootstrap approach to evaluate the impact of data mining on fundamental-based …

Using hundreds of significant anomalies as testing portfolios, this paper compares the
performance of major empirical asset pricing models. The q-factor model and a closely …

We use a large cross section of equity returns to estimate a rich affine model of equity prices,
dividends, returns, and their dynamics. Our model prices dividend strips of the market and …

Hundreds of variables have been proposed to predict the cross-section of stock returns; see,
for instance, Harvey, Liu, and Zhu (2015), McLean and Pontiff (2016), and Hou, Xue, and …

We propose a novel approach to measuring firm-level risk exposures and costs of equity.
Using a simple consumption-based asset pricing model that explains nearly two-thirds of the …

Many years ago, the authors demonstrated that there is much greater dimensionality to the
stock market than is suggested by the one-factor capital asset pricing model. Investors today …

We propose that expected returns estimated for the broad market based on observable firm
characteristics provide a simple and useful benchmark for assessing whether returns to a …

We identify and horse race three causes for the underperformance of some asset pricing
models: investor irrationality, transaction costs, and missing risk factors. Specifically, we …