Conditioning Variables and the Cross Section of Stock Returns
发现，那些能预测股票和债券回报随时间变化的变量，其载荷对股票投资组合回报的横截面有显著解释力，且这种解释力在Fama-French三因子和四因子模型之外依然成立。
Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross‐sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors advocated by Fama and French (1993) and the four factors of Elton, Gruber, and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The results carry implications for risk analysis, performance measurement, cost‐of‐capital calculations, and other applications.