The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
同时考察94个公司特征，发现1980至2014年间仅12个特征对非微型股回报有独立预测力，且2003年后预测力骤降，仅剩2个特征有效。
We take up Cochrane’s (2011) challenge to identify the firm characteristics that provide independent information about average U.S. monthly stock returns by simultaneously including 94 characteristics in Fama-MacBeth regressions that avoid overweighting microcaps and adjust for data-snooping bias. We find that while 12 characteristics are reliably independent determinants in non-microcap stocks from 1980 to 2014 as a whole, return predictability sharply fell in 2003 such that just two characteristics have been independent determinants since then. Outside of microcaps, the hedge returns to exploiting characteristics-based predictability also have been insignificantly different from zero since 2003. Received January 28, 2015; editorial decision November 28, 2016 by Editor Andrew Karolyi.