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 construct a robust stochastic discount factor (SDF) summarizing the joint explanatory
power of a large number of cross-sectional stock return predictors. Our method achieves …

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 …

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

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 …

The latest development in empirical Asset Pricing is the use of Machine Learning methods to
address the problem of the factor zoo. These techniques offer great flexibility and prediction …

In a standard q-theory model, corporate investment is negatively related to the cost of
capital. Empirically, we find that the weighted average cost of capital matters for corporate …

We propose a new approach for estimating expected returns on individual stocks from a
large number of firm characteristics. We treat expected returns as latent variables and apply …

A new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real
investment for individual firms. Conceptually as 'causal'as the consumption CAPM, yet …