I analyze the behavior of risk premia in financial crises, wars, and recessions in an
international panel spanning over 140 years and 14 countries. I document that expected …

I review the recent literature on cross‐sectional predictors of stock returns. Predictive
variables used emanate from informal arguments, alternative tests of risk‐return models …

Our paper reexamines whether 29 variables from 26 papers published after, as well as the
original 17 variables, were useful in predicting the equity premium in-sample and out-of …

Macro-finance addresses the link between asset prices and economic fluctuations. Many
models reflect the same rough idea: the market's ability to bear risk is greater in good times …

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 …

Our article comprehensively reexamines the performance of variables that have been
suggested by the academic literature to be good predictors of the equity premium. We find …

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

From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …

How do cryptocurrency prices evolve? Is there any interdependence among cryptocurrency
returns and/or volatilities? Are there any return spillovers and volatility spillovers between …

Using hundreds of significant anomalies as testing portfolios, this paper compares the
performance of major empirical asset pricing models. The q-factor model and a closely …