We use the cross-section regression approach of Fama and MacBeth (FM 1973) to construct cross-section factors corresponding to the time-series factors of Fama and French (FF 2015). Time-series models that use only cross-section factors provide better descriptions of average returns than...

In the four regions (North America, Europe, Japan, and Asia Pacific) we examine, there are value premiums in average stock returns that, except for Japan, decrease with size. Except for Japan, there is return momentum everywhere, and spreads in average momentum returns also decrease from smaller...

Variables with strong marginal explanatory power in cross-section asset pricing regressions typically show less power to produce increments to average portfolio returns, for two reasons. (1) Adding an explanatory variable can attenuate the slopes in a regression. (2) Adding a variable with...