Mining 29,000 accounting ratios for t-statistics over 2.0 leads to cross-sectional predictability similar to the peer review process. For both methods, about 50% of predictability remains after the original sample periods. Data mining generates other features of peer review including the rise in...

We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...

We provide data and code that successfully reproduces nearly all cross-sectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...

Corporate financing conditions have been rapidly evolving during the COVID-19 outbreak. In this short note, we report a timely measure of financing conditions obtained from machine-reading of earnings conference call transcripts. We find that actions consistent with financial concerns spiked...

We develop an estimator for publication bias adjusted returns and apply it to 156 replications of published long-short portfolio returns. Bias-adjusted returns are only 12.3% smaller than sample returns with a standard error of 1.7 percentage points. The small bias comes from the dispersion of...

Many consumption-based models succeed in matching long lists of asset price moments. We propose an alternative, full-information Bayesian evaluation that decomposes the price-dividend ratio (p/d) into contributions from long-run risks, habit, and a residual. We find that long-run risks account...

Macroeconomic and asset-pricing models are divided: modern risk modeling is rarely found in macroeconomics, and asset pricing is less successful in production economies. This divide can be understood through an irrelevance theorem: risk aversion and time-varying risk are irrelevant for the...

Time-varying risk premiums are a natural consequence of prudent savings behavior. Prudence prescribes a countercyclical marginal propensity to consume which leads to countercyclical consumption volatility and risk premiums. This "prudential uncertainty" channel is amplified by external habit,...