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"Neoclassical Realism" published on by Oxford University Press.

The cross section of returns can largely be summarized by the market factor and mimicking portfolios based on investment-to-assets and earnings-to-assets motivated from neoclassical reasoning. The neoclassical three-factor model can capture average return variations related to momentum and financial distress anomalous to traditional factor models. The model also captures the relations of average returns with earnings-to-price, cash flow-to-price, book-to-market, dividend-to-price, long-term past sales growth, long-term prior returns, and market leverage.

Frontmatter -- CONTENTS -- PREFACE -- ONE. NO ARBITRAGE: THE FUNDAMENTAL THEOREM OF FINANCE -- TWO. BOUNDING THE PRICING KERNEL, ASSET PRICING, AND COMPLETE MARKETS -- THREE. EFFICIENT MARKETS -- FOUR. A NEOCLASSICAL LOOK AT BEHAVIORAL FINANCE: THE CLOSED-END FUND PUZZLE -- BIBLIOGRAPHY -- INDEX