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 …

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 show how real and financial frictions amplify, prolong, and propagate the negative
impact of uncertainty shocks. We use a novel instrumentation strategy to address …

We take up Cochrane's (2011) challenge to identify the firm characteristics that provide
independent information about average US monthly stock returns by simultaneously …

General purpose technologies like information technology typically require complementary
firmspecific investments to create value. These complementary investments produce a form …

From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …

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 …

Unemployment is high when financial discounts are high. In recessions, the stock market
falls and all types of investment fall, including employers' investment in job creation. The …