John H. Cochrane

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“A Cross-Sectional Test of an Investment-Based Asset Pricing Model”

Journal of Political Economy, 104 (June 1996) A factor model with two investment returns (roughly, investment growth) to explain the cross section of stock returns. It is also where I first thought about conditional vs. unconditional models, scaling factors in GMM, and (somewhat dangerous) plots of average returns vs. predicted.

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