New return anomalies and new-Keynesian ICAPM
提出了一个包含新凯恩斯因子的多因子资产定价模型，解释了1972年至2009年间基于财务困境、动量、意外盈余等形成的投资组合的平均回报，其中两个货币政策因子对解释这些异象起重要作用。
I propose a new multi-factor asset pricing model with new-Keynesian factors to explain stock return anomalies from 1972Q1 to 2009Q2. This new model explains the average returns across testing portfolios formed on financial distress, momentum, and standardized unexpected earnings with misspecification-robust statistics. Test portfolios formed on net stock issues and total accruals are also partly explained by new-Keynesian factors. Two monetary policy factors play an important role in explaining these new anomalies. The credit aspect of these new anomalies suggests an economic rationale for the model through capital market imperfections and the credit channel of monetary policy mechanism.