We provide a theoretical and empirical analysis of the link between advertising expenditures, brand capital, and asset returns in the cross-section of U.S. publicly traded firms. Interpreting advertising expenditures as firms' investment in brand capital, we document that: (i) firms with high...

We use asset pricing insights to study importance of micro-level frictions for aggregate quantities. In our model, the relevant stochastic variable is a stationary growth rate (necessary to produce high Sharpe Ratios in a Long Run Risk world), as opposed to a trend-stationary level of...