Labor productivity, measured as the industry-standardized ratio of sales to number of employees, has an ability to predict average stock returns. In the portfolio sort, firms with high labor productivity earn higher expected returns than those with low productivity. The difference in returns is...

Asset turnover, an inside component of profitability in the Dupont analysis, has an ability to predict average stock returns. In the portfolio sort, firms with high asset turnover earn high expected returns, which is unexplained by risk-adjusted asset pricing models. In the cross-section, asset...

In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for transaction costs such as the effective trading costs measure...

In this paper, we propose a liquidity risk adjustment to the Epstein and Zin (1989, 1991) model and assess the adjusted model's performance against the traditional consumption pricing models. We show that liquidity is a significant risk factor and it adds considerable explanatory power to the...