Sector Investment Growth Rates and the Cross Section of Equity Returns

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A Skeptical Appraisal of Asset Pricing Tests (2010, unknown): “…Nagel b, Jay Shanken c a Tuck School of Business, Dartmouth College, Hanover, NH 03755, USA b Graduate School of Business, Stanford University, Stanford, CA 94305, USA c Goizueta Business School, Emory University, Atlanta, GA 30322, USA a r t i c l e i n f o Article history: Received 28 September…”
Unexplained factors and their effects on second pass R-squared’s (2015, methodology): “where ψ∗ and φ∗ are independent N × 1 and N ×m dimensional random matrices whose elements have independent standard normal distributions, W is an orthonormal k×k dimensional matrix which contains the eigenvectors ofh (β0β) 1 2 0VFF (β0β) 1 2 + (β0β)− 1 2 0β0Vεεβ(β0β)− 1 2 i (27)”