As a summarization of previously suggested production-based approaches, Chen et al. (2010) propose two production-based factors. We examine whether the proposed factors explain the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test...

We examine if an existing asset pricing model in an unconditional or conditional setting can explain the investment growth anomaly, as represented by higher returns on stocks of the firms with lower growth in capital expenditures. Our results indicate that the conditional Fama–French 3-factor...

This paper studies the predictability of returns in the French stock market. It provides an analysis of predictable components of monthly common stock returns. We study a single-beta conditional model and we show that stock market risk premium is variable over time and is important for capturing...

Recent evidence of mean reversion in stock returns has led to an explosion in the development of forecasting variables. This paper evaluates the relative performance of these many variables in both time-series and cross-sectional setups. We collect the different measures and compare their...

The influence of changing economic environment leads the distribution of stock market returns to be time-varying. A conditionally optimal investment hence requires a dynamic adjustment of asset allocation. In this context, this paper examines the improvement in portfolio performance by...

This paper compares the asset pricing ability of the traditional consumption-based capital asset pricing model to models from two strands of literature attempting to improve on the poor empirical results of the C-CAPM. One strand is based on the intertemporal asset pricing model of Campbell...