Beginning with Banz (1981), I review 30years of research on the size effect in equity returns.
Since Fama and French (1992), there has been a vigorous, ongoing debate on whether the …

Financial markets have become increasingly global in recent decades, yet the pricing of
internationally traded assets continues to depend strongly upon local risk factors, leading to …

Macro-finance addresses the link between asset prices and economic fluctuations. Many
models reflect the same rough idea: the market's ability to bear risk is greater in good times …

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 …

We investigate the role of economic uncertainty in the cross-sectional pricing of individual
stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index …

Discount‐rate variation is the central organizing question of current asset‐pricing research. I
survey facts, theories, and applications. Previously, we thought returns were unpredictable …

We argue that tests of reduced‐form factor models and horse races between
“characteristics” and “covariances” cannot discriminate between alternative models of …

We find consistent value and momentum return premia across eight diverse markets and
asset classes, and a strong common factor structure among their returns. Value and …

We study how investor sentiment affects the cross‐section of stock returns. We predict that a
wave of investor sentiment has larger effects on securities whose valuations are highly …

This paper shows that investments based on deep learning signals extract profitability from
difficult-to-arbitrage stocks and during high limits-to-arbitrage market states. In particular …