This paper documents a robust new fact about the cross section of stock returns: stocks of companies with higher past production efficiency earn significantly higher average returns in the future. The return difference between the high production efficiency and the low production efficiency...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...