In the investment theory, firms with high expected investment growth earn higher expected
returns than firms with low expected investment growth, holding investment and expected …

We provide data and code that successfully reproduces nearly all cross-sectional stock
return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by …

Most anomalies fail to hold up to currently acceptable standards for empirical finance. With
microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 …

We propose a model selection method to systematically evaluate the contribution to asset
pricing of any new factor, above and beyond what a high‐dimensional set of existing factors …

We propose a theoretically motivated factor model based on investor psychology and
assess its ability to explain the cross-section of US equity returns. Our factor model …

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 …

In this review we survey the recent research on the fundamental determinants of stock
returns. These studies explore how firms' systematic risk and their investment and …

This paper provides new evidence about the link between firm-level total factor productivity
(TFP) and stock returns. We estimate firm-level TFP and show that it is strongly related to …

We study the impact of labor market frictions on asset prices. In the cross section of US firms,
a 10 percentage point increase in the firm's hiring rate is associated with a 1.5 percentage …

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 …