Stock characteristics are connected to expected returns because they tell us about risk exposure.
We find significant liquidity effects to ECB sovereign bond purchases, using a search-based asset pricing model to understand the mechanism. [SSRN]
The 3PRF is a simple least squares forecaster using many predictor variables that directly estimates the relevant forecast factors and is asymptotically normal for the best possible forecast. [publication] [SSRN]
Returns and cash flows are robustly predicted by valuation ratio cross sections, which expose growth and value assets' different exposures to economic shocks, with the implication that discount rates are less persistent than implied by leading asset pricing models. [publication] [SSRN]