We build regression trees to determine which firm characteristics are most likely to drive future returns. Out of 30 attributes, those related to momentum appear to have, by far, the most marked impact. This prominence is verified at the sector level as well. The second order effects are...

We propose an equilibrium construction process of asset prices that generates returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely separately on firm characteristics and on the log-price of assets. Market...