Empirical cross-sectional asset pricing: a survey

Empirical cross-sectional asset pricing: a survey

I review the state of empirical asset pricing devoted to understanding crosssectional differences in average rates of return. Both methodologies and empirical evidence are surveyed. Tremendous progress has been made in understanding return patterns. At the same time, there is a need to synthesize the huge amount of collected evidence.

Empirical Cross-Sectional Asset Pricing∗

I review recent research efforts in the area of empirical cross-sectional asset pricing. I start by summarizing the evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional versions to explain these predictability patterns. One response in part of the recent literature is to focus on adhoc factor models, which summarize the cr...

Cross Sectional Asset Pricing Tests

Essays on Empirical Asset Pricing

Essays on Empirical Asset Pricing

Analysts’ Forecasts and Asset Pricing: A Survey

This survey reviews the literature on sell-side analysts’ forecasts and its implications for asset pricing. We review the literature on the supply and demand forces shaping analysts’ forecasting decisions as well as the implications of the information they produce for both the cash flow and the discount rate components of security returns. Analysts’ forecasts bring prices in line with the expec...