Past work suggests that momentum is among the most robust market anomalies, as well as momentum profitability concentrates in firms with high information uncertainty and high credit risk. This paper shows that such momentum concentrations naturally emerge in an equilibrium setting with...

This paper proposes an intertemporal asset pricing model within a long-run risk economy featuring a formal cross section of firms characterized by mean-reverting expected dividend growth. We find considerable empirical support for the cross-sectional implications of the model, as cash flow- and...

This paper proposes and implements an inter-temporal model wherein aggregate consumption and asset-specific dividend growths jointly move with two mean-reverting state variables. Consumption beta varies through time and cross sectionally due to variation in half-lives and stationary volatilities...