Data & Code

What Does the Cross-Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments

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Multifactor Models and Their Consistency with the APT

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STATA code to produce the results in Section 5

Asset Pricing Implications of Money: New Evidence

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Monetary Policy and Corporate Bond Returns

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ICAPM and the Accruals Anomaly

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Asset Growth, Profitability, and Investment Opportunities

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New Evidence on Conditional Factor Models

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Economic Activity and Momentum Profits: Further Evidence

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Short-Term Interest Rates and Stock Market Anomalies

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Macro Variables and the Components of Stock Returns

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Interest Rate Risk and the Cross-Section of Stock Returns

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Another Look at the Stock Return Response to Monetary Policy Actions

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Return Decomposition and the Intertemporal CAPM

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Intertemporal CAPM with Conditioning Variables

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Multifactor Models and Their Consistency with the ICAPM

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