We study how short- and long-term equity claims respond to news about long-term economic growth and analyze the relative contribution of cash flows and discount rates to this response. To this end, we add the equity yields from Giglio, Kelly, and Kozak (2020) to a standard structural macro-VAR...

We study the returns to characteristic-sorted portfolios up to five years after portfolio formation. Among a set of 56 characteristics, we find large pricing errors between the contemporaneous returns of new and old sorts, where new sorts use the most recent observations of firm characteristics....

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of...

We show that returns to value strategies in individual equities, industries, commodities, currencies, global government bonds, and global stock indexes are predictable in the time series by their respective value spreads. In all these asset classes, expected value returns vary by at least as...

We classify asset pricing anomalies into those that exacerbate mispricing (build-up anomalies) and those that resolve it (resolution anomalies). To this end, we estimate the dynamics of price wedges for a large number of well-known anomaly portfolios in the factor zoo and map them to firm-level...