Internet Appendix to “Asset Pricing with Garbage”

This document contains supplemental results and derivations for the paper “Asset Pricing with Garbage”. These include cross-sectional results for 25 portfolios formed using a double sort of garbage and expenditure betas, alternative test assets for the Fama MacBeth regressions in the paper, alternative weighting schemes for the crosssectional GMM test in the paper, a test using a linear stochastic discount factor, a robustness check using a value-weighted garbage index, and a discussion of the differences in the construction of the garbage and expenditure series as they may relate to the results in the paper. ∗Citation format: Savov, Alexi, 2011, “Asset Pricing with Garbage”, Journal of Finance 66, 177-201, Internet Appendix http://www.afajof.org/supplements.asp. Please note: Wiley-Blackwell is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing material) should be directed to the corresponding author for the article.