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 …

We construct an index of firms' external finance constraints via generalized method of
moments (GMM) estimation of an investment Euler equation. Unlike the commonly used KZ …

If asset returns have systematic skewness, expected returns should include rewards for
accepting this risk. We formalize this intuition with an asset pricing model that incorporates …

We parsimoniously characterize the severity of market frictions affecting a stock using the
delay with which its price responds to information. The most delayed firms command a large …

Theories such as Merton [1987. A simple model of capital market equilibrium with
incomplete information. Journal of Finance 42, 483–510] predict a positive relation between …

Identifying the factors that drive the cross-section of expected returns is challenging for at
least three reasons. First, the choice of testing approach (time series versus cross-sectional) …

The value premium in US stock returns is robust. The positive relation between average
return and book‐to‐market equity is as strong for 1929 to 1963 as for the subsequent period …

This article examines whether country-specific or global versions of Fama and French's
three-factor model better explain time-series variation in international stock returns …

Previous studies identify predetermined variables that predict stock and bond returns
through time. This paper shows that loadings on the same variables provide significant cross …

This paper empirically tests the liquidity-adjusted capital asset pricing model of Acharya and
Pedersen (2005) on a global level. Consistent with the model, I find evidence that liquidity …