We propose that fitted values from market-wide regressions of firm returns on lagged firm characteristics provide useful benchmarks for assessing whether average returns to certain stocks are abnormal. To illustrate, we study eight events where abnormal returns have been documented, including...

Prior literature has documented a significant positive association between firm cash holdings and future returns (Simutin (2010) and Palazzo (2012)). We extend this literature by introducing time-varying aggregate financial constraints and showing that the link between cash and returns is only...

We show that the performance of the new factor models of Hou, Xue, and Zhang (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Both models use growth in total assets to measure investment. Their ability to price the cross-section of returns...