The correlation between stock characteristics and the cross-section of stock returns plays a central role in empirical implementations of modern asset pricing models and has important implications for investment management. This remains true whether the correlation is due to investor preferences...

The recent collapse of the stock market has refocused attention on the question of the equity risk premium. One of the most comprehensive studies of the equity premium, completed by Fama and French in 2000, is now significantly out of date and requires refreshing. This article provides that...

The assumption that asset prices are determined by the efforts of end investors to maximize inter-temporal utility supports a pricing theory that is both elegant and intuitive. Unfortunately, the assumption is counterfactual. End investors, with few exceptions, lack the capacity to behave in a...