in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. Our single-factor model … true pricing kernel holds exactly by construction. Due to beta measurement errors, the relation between the pre …-expected return relation is strongly positive. In all, the empirical failures of standard asset pricing models should be interpreted …

asset pricing models. The q-factor model and a closely related five-factor model are the two best performing models among a …. Investment and profitability, not liquidity, are the key driving forces in the broad cross section of expected stock returns …

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 …

We question a deep-ingrained doctrine in asset pricing: if an empirical characteristic-return relation is consistent … big picture of asset pricing. Factors formed on characteristics are not necessarily risk factors: characteristics …-sectional asset pricing …

A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with …