Equilibrium Cross Section of Returns
构建了一个动态一般均衡生产经济模型，将预期股票收益率与公司规模、账面市值比等特征联系起来，发现这些特征与条件市场贝塔相关，因此能预测收益率，且与单因子条件CAPM一致。
We construct a dynamic general equilibrium production economy to explicitly link expected stock returns to firm characteristics such as firm size and the book-to-market ratio. Stock returns in the model are completely characterized by a conditional capital asset pricing model (CAPM). Size and book-to-market are correlated with the true conditional market beta and therefore appear to predict stock returns. The cross-sectional relations between firm characteristics and returns can subsist even after one controls for typical empirical estimates of beta. These findings suggest that the empirical success of size and book-to-market can be consistent with a single-factor conditional CAPM model.