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 …

We examine the asset pricing implications of a production economy whose long‐term
growth prospects are endogenously determined by innovation and R&D. In equilibrium …

We study the role of brand capital–a primary form of intangible capital–for firm valuation and
risk in the cross section of publicly traded firms. Using an empirical measure of brand capital …

This paper studies the equilibrium term structure of nominal and real interest rates and the
time-varying bond risk premia implied by a stochastic endogenous growth model with …

This paper jointly examines the link between competition and expected returns in the time
series and in the cross-section. To this end, we build a general equilibrium model where …

Elevated levels of government debt raise concerns about their effects on long-term growth
prospects. Using the cross-section of US stock returns, we show that (i) high-R&D firms are …

We estimate a production‐based general equilibrium model featuring demand‐and supply‐
side uncertainty and an endogenous term premium. Using term structure and …

What is the impact of higher technological volatility on asset prices and macroeconomic
aggregates? I find the answer hinges on its sectoral origin. Volatility that originates from the …

The impact of uncertainty shocks on asset prices and macroeconomic dynamics depends on
the degree of risk sharing in the economy and the origin of uncertainty. We develop a …

We study the response of international investment flows to shortand long-run growth news.
Among developed G7 countries, positive long-run news for domestic productivity induces a …