Industry characteristics explain the cross section of investment returns among industries consisting primarily of private rms as well as among industries composed mostly of public rms. For both types of industries, common asset pricing models explain the cross-sectional variation of...

Firm level characteristics explain the cross section of investment returns of industry portfolios that include listed and unlisted firms. Moreover, common asset pricing models explain the cross-sectional variation of characteristic-based investment returns which include listed and unlisted...

The output gap, a production-based macroeconomic variable, is a strong predictor of U.S. stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a “fad” in prices being washed...

Within a broad sample of US manufacturing firms, we find that, controlling for investment opportunities and financial constraints, increased governance quality is associated with higher levels of investment. Increased governance quality is also associated with greater responsiveness of...

The output gap, a production based macroeconomic variable, is a strong predictor of stock and bond returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a fad in prices being washed away....

The output gap, a production based macroeconomic variable, is a strong predictor of US stock returns. It is a prime business cycle indicator that does not include the level of market prices, thus removing any suspicion that returns are forecastable due to a quot;fadquot; in prices being washed...