We examine the pricing of aggregate volatility risk in the cross‐section of stock returns.
Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate …

This paper explains the size and value “anomalies” in stock returns using an economically
motivated two-beta model. We break the beta of a stock with the market portfolio into two …

This paper explores the ability of conditional versions of the CAPM and the consumption
CAPM—jointly the (C) CAPM—to explain the cross section of average stock returns. Central …

ABSTRACT The Fama–French factors HML and SMB are correlated with innovations in
variables that describe investment opportunities. A model that includes shocks to the …

A new factor model consisting of the market factor, an investment factor, and a return-on-
equity factor is a good start to understanding the cross-section of expected stock returns …

A model that includes a factor that captures news related to future Gross Domestic Product
(GDP) growth along with the market factor can explain the cross-section of equity returns …

This article interprets the well-known value effect through the implications of standard Q-
theory. An investment growth factor, defined as the difference in returns between low …

ABSTRACT Standard Fama-French and Carhart models produce economically and
statistically significant nonzero alphas, even for passive benchmark indices such as the S&P …

I propose a parsimonious model that reproduces the negative risk-adjusted performance of
actively managed equity mutual funds. In the model, a fund manager can generate state …

This paper considers the impact of the takeover likelihood on firm valuation. If firms are more
likely to acquire when there is more free cash or lower required rates of return, the targets …