We incorporate costly external finance in a production based asset pricing model and investigate whether financing … frictions are quantitatively important for pricing a cross-section of expected returns. We show that the common assumptions … financing frictions in pricing across-section of asset returns. Using the Generalized Method of Moments (GMM) we estimate a …

pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in …

Motivated from investment-based asset pricing, we propose a new factor model that consists of the market factor, a size …-factor model in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, equity issues, as … well as on investment and return-on-equity; [ii] performs similarly as the Carhart model in pricing portfolios on momentum …

Motivated from investment-based asset pricing, we propose a new factor model consisting of the market factor, a size … in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, net stock issues … pricing portfolios formed on size and momentum, abnormal corporate investment, as well as on size and book-to-market, but …

pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected …

The q-theory explanations of asset pricing anomalies are quantitatively important. We perform a new asset pricing test …