This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work and on the trade‐off between risk and return. Modern research …

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 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 …

We propose a theoretically motivated factor model based on investor psychology and
assess its ability to explain the cross-section of US equity returns. Our factor model …

Managed portfolios that take less risk when volatility is high produce large alphas, increase
Sharpe ratios, and produce large utility gains for mean‐variance investors. We document …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

Previous work shows that average returns on common stocks are related to firm
characteristics like size, earnings/price, cash flow/price, book‐to‐market equity, past sales …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

We survey 392 CFOs about the cost of capital, capital budgeting, and capital structure. Large
firms rely heavily on present value techniques and the capital asset pricing model, while …

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 …