Stock characteristics are connected to expected returns because they tell us about risk exposures; and only a few characteristics are really necessary for that.
Factor estimation using instrumental data to capture both cross-sectional and time-series variation in factor loadings [SSRN]
With the onset of the ZLB, we find a decrease in the perceived monetary policy response to inflation, using surveys of professional forecasts to sidestep data censorship. [SSRN]
Firms' investment decisions contain new information about future aggregate productivity shocks. [SSRN]
We find significant liquidity effects to ECB sovereign bond purchases, using a search-based asset pricing model to understand the mechanism. [SSRN]