Industry characteristics explain the cross section of investment returns among industries consisting primarily of private rms as well as among industries composed mostly of public rms. For both types of industries, common asset pricing models explain the cross-sectional variation of...

Firm level characteristics explain the cross section of investment returns of industry portfolios that include listed and unlisted firms. Moreover, common asset pricing models explain the cross-sectional variation of characteristic-based investment returns which include listed and unlisted...

The output gap, a production-based macroeconomic variable, is a strong predictor of U.S. stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a “fad” in prices being washed...

Discount rate variation is driven by a short run business cycle component and a longer run trend component. This leads to state variable hedging of these two components and ICAPM logic implies a three factor model for expected returns. The factors represent cash ow news, short term discount rate...