Expected returns and risk in the stock market
研究了市场收益与定价核协方差随时间变化如何导致预期收益的可预测性，发现一年期R²达17-18%，且定价核与预期收益新闻正交，表明可预测性源于现金流新闻风险的时变。
We explain time-varying expected returns by time-variation in the covariance of the market return with the pricing kernel. Simple specifications in which the kernel is spanned by a small number of factors reveal substantial levels of predictability with 1-year R2 of 17–18%. The pricing kernel identified by the model is essentially orthogonal to news about expected returns, suggesting that the predictability of market returns is due to the time-varying risk of cash-flow news.