Predicting Stock Returns Using Industry-Relative Firm Characteristics

By Clifford S. Asness, R. Porter, Ross L. Stevens. 2000

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... and the Cross-Section of Expected Returns (2013, unknown): “This approach has been followed in several recent papers, for example, Asness et al. (2013) and Koijen et al. (2012).”
Labor Hiring, Investment, and Stock Return Predictability in the Cross Section (2014, unknown): “5 Asness, Porter, and Stevens ð2000Þ use firm-level changes in employees as an empirical proxy variable for distress in the cross section. labor hiring, investment 135 and market equity.”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, unknown): “…While research has shown that other value measures are more powerful for predicting stock returns (e.g., Lakonishok, Shleifer, and Vishny (1994), Asness, Porter, and Stevens (2000), Piotroski (2000)), we maintain a basic and simple approach that is somewhat consistent across asset classes.”
The other side of value: The gross profitability premium. (2013, methodology): “dependent variable HMLjGP PMUjBM HML PMU independent variables (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) intercept 0.”