Winner stocks have higher changes in sales order backlogs and a sales order backlog factor is significant in explaining various winner minus loser returns and often reduces the [alpha]s by big margins. We argue that this factor is a proxy for innovation in demand in the economy and it is likely...

This study examined concurrent and prospective associations of financial stress (financial strain, lack of financial access, public assistance) and parenting support factors (relationship quality, living at home, financial support) with young adults’ alcohol behaviors (alcohol use, heavy...

This paper considers asset pricing from the production side. It differs from earlier approaches to production-based asset pricing in that the pricing kernel is derived by replacing the marginal rate of intertemporal substitution with an amended version of the marginal rate of intertemporal...

We adapt the metric of Kandel and Stambaugh (1995) to evaluate linear asset pricing models. The “KS-ratio” criterion rates a model’s usefulness based on the mean portfolio return a mean-variance decision maker obtains for any variance choice by using the model for optimal portfolio...

We consider asset pricing in a monetary economy where liquid assets are held to lower transaction costs. The ensuing model extends the capital asset pricing model (CAPM) and the consumption CAPM by deriving real money growth as an additional factor determining returns. Empirically, the two model...

We present a theoretical perspective that motivates the use of the Generalized Least Squares R-Square, prominently advocated by Lewellen et al. [Lewellen, J., Nagel, S., Shanken, J., forthcoming. A skeptical appraisal of asset-pricing tests. Journal of Financial Economics], as an evaluation...

In an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firm's future dividends, and lead to systematic technology risk. We construct a technology factor to track the changes in technology prospects measured by...