Solutions to the equity premium puzzle should inform us about the cross-section of stock returns. An external habit model with heterogeneous firms reproduces numerous stylized facts about both the equity premium and the value premium. The equity premium is large, time-varying, and linked with...

A unified framework for understanding asset prices and aggregate fluctuations is critical for understanding both issues. I show that a real business cycle model with external habit preferences and capital adjustment costs provides one such framework. The estimated model matches the first two...

For many economic questions, the empirical results are not interesting unless they are strong. For these questions, theorizing before the results are known is not always optimal. Instead, the optimal sequencing of theory and empirics trades off a "Darwinian Learning" effect from theorizing first...

Mining 29,000 accounting ratios for t-statistics over 2.0 leads to cross-sectional predictability similar to the peer review process. For both methods, about 50% of predictability remains after the original sample periods. Data mining generates other features of peer review including the rise in...

We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...