• Publications
  • Influence
Digesting Anomalies: An Investment Approach
An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. AExpand
  • 1,006
  • 183
  • PDF
A Comparison of New Factor Models
This paper compares the Hou, Xue, and Zhang (2014) q-factor model and the Fama and French (2014a) five-factor model on both conceptual and empirical grounds. Four concerns cast doubt on theExpand
  • 135
  • 17
  • PDF
Large scale real-time PCR validation on gene expression measurements from two commercial long-oligonucleotide microarrays
BackgroundDNA microarrays are rapidly becoming a fundamental tool in discovery-based genomic and biomedical research. However, the reliability of the microarray results is being challenged due to theExpand
  • 313
  • 13
A Better Three-Factor Model That Explains More Anomalies
The market factor, an investment factor, and a return-on-assets factor summarize the cross-sectional variation of expected stock returns. The new three-factor model substantially outperformsExpand
  • 113
  • 10
  • PDF
Do Time-Varying Risk Premiums Explain Labor Market Performance?
Within the standard search and matching model, time-to-build implies that high aggregate risk premiums should forecast low employment growth in the short run but high employment growth in the longExpand
  • 33
  • 5
  • PDF
The CAPM Strikes Back? An Equilibrium Model with Disasters
Embedding disasters into a general equilibrium model with heterogeneous firms induces strong nonlinearity in the pricing kernel, helping explain the empirical failure of the (consumption) CAPM. OurExpand
  • 14
  • 3
  • PDF
Investment-Based Underperformance Following Seasoned Equity Offerings
Adding a return factor based on capital investment into standard, calendar-time factor regressions makes underperformance following seasoned equity offerings largely insignificant and reduces itsExpand
  • 25
  • 3
  • PDF
Aggregation, Capital Heterogeneity, and the Investment CAPM
A detailed treatment of aggregation and capital heterogeneity substantially improves the performance of the investment CAPM. Firm-level predicted returns are constructed from firm-level accountingExpand
  • 9
  • 3
  • PDF
Validity and utility of ecological footprint accounting: A state-of-the-art review
Proposed improvements to EF accounting to make a robust indicator and enable a reliable assessment to support sustainable development. Expand
  • 22
  • 2
  • PDF
From boom to bust in the credit cycle
  • 8
  • 2
  • PDF