Recent studies document strong empirical support for multifactor models that aim to explain
the cross-sectional variation in corporate bond expected excess returns. We revisit these …

We propose a nonparametric method to study which characteristics provide incremental
information for the cross-section of expected returns. We use the adaptive group LASSO to …

This paper reviews the literature on structural breaks in financial time series. The second
section discusses the implications of structural breaks in financial time series for statistical …

Standard estimators of risk premia in linear asset pricing models are biased if some priced
factors are omitted. We propose a three-pass method to estimate the risk premium of an …

In corporate finance and asset pricing empirical work, researchers are often confronted with
panel data. In these data sets, the residuals may be correlated across firms or across time …

Financial intermediaries trade frequently in many markets using sophisticated models. Their
marginal value of wealth should therefore provide a more informative stochastic discount …

We examine the relation between stock returns, measures of risk, and several non-risk
security characteristics, including the book-to-market ratio, firm size, the stock price, the …

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 …

We provide evidence for the importance of information asymmetry in asset pricing by using
three natural experiments. Consistent with rational expectations models with multiple assets …

Aggregate consumption growth risk explains why low interest rate currencies do not
appreciate as much as the interest rate differential and why high interest rate currencies do …