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The Expected Growth Factor: Is It Really About Expected Growth? 

I revisit the expected growth factor of Hou et al. (2021). Alternative information sets improve forecasts of investment growth but lower the return spread, eliminate significant q-factor alphas, and weaken cross-sectional pricing performance, all driven by information outside Hou et al. (2021)'s predictor set. Thus, the performance of the expected growth factor is predictor specific rather than a general property of expected investment growth, casting doubt on the interpretation that its pricing success reflects expected investment growth.

Portfolio Construction and the Projection of Stock Return Seasonality 

I examine whether return seasonality in anomaly portfolios reflects seasonal factor risk premia or stock-level seasonality carried through portfolio construction. A stock-level seasonality factor spans anomaly seasonality strategies, but not vice versa. Seasonality is stronger among anomaly portfolios with more stable constituents, and anomaly deciles are most informative for pricing seasonality-sorted stock portfolios when their lagged returns closely proxy those of their current constituents. These findings show that anomaly seasonality is a projection of stock-level seasonality through portfolio construction, not evidence of distinct seasonal factor risk premia. They caution against interpreting predictability in characteristic-sorted portfolios as evidence of factor premia.