Production decisions provide a credible indicator of future costs of capital perceived by corporate insiders and so may forecast future stock returns. We find that, under decreasing returns to scale, investment returns correlate imperfectly with stock returns and that higher profitability and...

Although liquidity has received wide attention in asset pricing literature over the past decades, how stock liquidity is priced in emerging markets remains unclear. We find that liquidity plays an important role in explaining the cross-section and time-series variation in expected returns by...