Empirical Cross-Sectional Asset Pricing
综述了横截面收益可预测性的证据，以及标准CAPM等模型无法解释这些模式，并介绍了理性预期、投资者情绪等不同研究路径的最新进展。
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) capital asset pricing models (CAPMs) and their conditional versions to explain these predictability patterns. Part of the recent literature focuses on ad hoc factor models, which summarize the cross section of expected returns in parsimonious form, or on production-based approaches, which suggest links between firm characteristics and expected returns. Without imposing restrictions on investor preferences and beliefs, neither one of these two approaches can answer the question of why investors price assets the way they do. Within the rational expectations paradigm, recent research that imposes such restrictions has focused on the intertemporal CAPM (ICAPM), long-run risks models, as well as frictions and liquidity risk. Approaches based on investor sentiment have focused on the development of empirical proxies for sentiment and for the limits to arbitrage that allow sentiment to affect prices. Empirical work that considers learning and adaptation of investors has worked with out-of-sample tests of cross-sectional predictability.