A standard production-based asset pricing model with labor frictions implies a negative relation between job postings and expected stock market returns. As the discount rate rises in recessions, the present value of hiring declines and firms optimally post fewer job openings. We confirm this...

We introduce a hierarchical Bayes approach to model conditional firm-level alphas as a function of firm characteristics. Our empirical framework is motivated by growing concerns in the literature regarding the reliability of inferences from portfolio-based methods. In our initial tests, we...

The proliferation of anomalies and the resulting `factor zoo' has challenged finance researchers to identify firm characteristics that are genuinely related to the cross-sectional variation in expected stock returns. We address this challenge using a Bayesian ensemble of trees approach, namely,...