@article{econhot_econhot-reading-48,
  title = {Risk, Return, and Equilibrium: Empirical Tests},
  author = {Eugene F. Fama and James D. MacBeth},
  journal = {Journal of Political Economy},
  year = {1973},
  volume = {81},
  number = {3},
  pages = {607-636},
  doi = {10.1086/260061},
  url = {https://doi.org/10.1086/260061}
}

@article{econhot_econhot-reading-49,
  title = {Implications of Security Market Data for Models of Dynamic Economies},
  author = {Lars Peter Hansen and Ravi Jagannathan},
  journal = {Journal of Political Economy},
  year = {1991},
  volume = {99},
  number = {2},
  pages = {225-262},
  doi = {10.1086/261749},
  url = {https://doi.org/10.1086/261749}
}

@article{econhot_econhot-reading-50,
  title = {Common risk factors in the returns on stocks and bonds},
  author = {Eugene F. Fama and Kenneth R. French},
  journal = {Journal of Financial Economics},
  year = {1993},
  volume = {33},
  number = {1},
  pages = {3-56},
  doi = {10.1016/0304-405x(93)90023-5},
  url = {https://doi.org/10.1016/0304-405x(93)90023-5}
}

@article{econhot_econhot-cited-aea3e1ae192eef7d,
  title = {A five-factor asset pricing model},
  author = {Eugene F. Fama and Kenneth R. French},
  journal = {Journal of Financial Economics},
  year = {2014},
  volume = {116},
  number = {1},
  pages = {1-22},
  doi = {10.1016/j.jfineco.2014.10.010},
  url = {https://doi.org/10.1016/j.jfineco.2014.10.010}
}

@article{econhot_econhot-cited-aac8b835c06c7ecc,
  title = {The Cross‐Section of Volatility and Expected Returns},
  author = {Andrew Ang and Robert J. Hodrick and Yuhang Xing and Xiaoyan Zhang},
  journal = {The Journal of Finance},
  year = {2006},
  volume = {61},
  number = {1},
  pages = {259-299},
  doi = {10.1111/j.1540-6261.2006.00836.x},
  url = {https://doi.org/10.1111/j.1540-6261.2006.00836.x}
}

@article{econhot_econhot-cited-da2c4081b20aadcb,
  title = {The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors},
  author = {John Y. Campbell and Robert J. Shiller},
  journal = {Review of Financial Studies},
  year = {1988},
  volume = {1},
  number = {3},
  pages = {195-228},
  doi = {10.1093/rfs/1.3.195},
  url = {https://doi.org/10.1093/rfs/1.3.195}
}

@article{econhot_econhot-cited-e915624571a2da0f,
  title = {A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory},
  author = {Richard W. Roll},
  journal = {Journal of Financial Economics},
  year = {1977},
  volume = {4},
  number = {2},
  pages = {129-176},
  doi = {10.1016/0304-405x(77)90009-5},
  url = {https://doi.org/10.1016/0304-405x(77)90009-5}
}

@article{econhot_econhot-cited-f46af5bca7eaa633,
  title = {Conditional Skewness in Asset Pricing Tests},
  author = {Campbell R. Harvey and Akhtar R. Siddique},
  journal = {The Journal of Finance},
  year = {2000},
  volume = {55},
  number = {3},
  pages = {1263-1295},
  doi = {10.1111/0022-1082.00247},
  url = {https://doi.org/10.1111/0022-1082.00247}
}

@article{econhot_econhot-cited-3f05ee5d33d1c233,
  title = {Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model},
  author = {Robert F. Engle and David M. Lilien and Russell P. Robins},
  journal = {Econometrica},
  year = {1987},
  volume = {55},
  number = {2},
  pages = {391},
  doi = {10.2307/1913242},
  url = {https://doi.org/10.2307/1913242}
}

@article{econhot_econhot-cited-0e86b941e586d10c,
  title = {The jump-risk premia implicit in options: evidence from an integrated time-series study},
  author = {Jun Min Pan},
  journal = {Journal of Financial Economics},
  year = {2002},
  volume = {63},
  number = {1},
  pages = {3-50},
  doi = {10.1016/s0304-405x(01)00088-5},
  url = {https://doi.org/10.1016/s0304-405x(01)00088-5}
}

@article{econhot_econhot-cited-83d193d9100b7532,
  title = {Evidence on the Characteristics of Cross Sectional Variation in Stock Returns},
  author = {Kent Daniel and Sheridan D. Titman},
  journal = {The Journal of Finance},
  year = {1997},
  volume = {52},
  number = {1},
  pages = {1-33},
  doi = {10.1111/j.1540-6261.1997.tb03806.x},
  url = {https://doi.org/10.1111/j.1540-6261.1997.tb03806.x}
}

@article{econhot_econhot-cited-428ef52c52283158,
  title = {Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying},
  author = {Martin Lettau and Sydney C. Ludvigson},
  journal = {Journal of Political Economy},
  year = {2001},
  volume = {109},
  number = {6},
  pages = {1238-1287},
  doi = {10.1086/323282},
  url = {https://doi.org/10.1086/323282}
}

@article{econhot_econhot-cited-a21d9f54bc2f29f6,
  title = {A skeptical appraisal of asset pricing tests☆},
  author = {Jonathan W. Lewellen and Stefan Nagel and Jay A. Shanken},
  journal = {Journal of Financial Economics},
  year = {2009},
  volume = {96},
  number = {2},
  pages = {175-194},
  doi = {10.1016/j.jfineco.2009.09.001},
  url = {https://doi.org/10.1016/j.jfineco.2009.09.001}
}

@article{econhot_econhot-cited-cbb27cc959986aa6,
  title = {Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1},
  author = {Michael John Brennan and Tarun Chordia and Avanidhar Subrahmanyam},
  journal = {Journal of Financial Economics},
  year = {1998},
  volume = {49},
  number = {3},
  pages = {345-373},
  doi = {10.1016/s0304-405x(98)00028-2},
  url = {https://doi.org/10.1016/s0304-405x(98)00028-2}
}

@article{econhot_econhot-cited-215b15d5431fcf99,
  title = {Accounting valuation, market expectation, and cross-sectional stock returns},
  author = {Richard M. Frankel and Charles M.C. Lee},
  journal = {Journal of Accounting and Economics},
  year = {1998},
  volume = {25},
  number = {3},
  pages = {283-319},
  doi = {10.1016/s0165-4101(98)00026-3},
  url = {https://doi.org/10.1016/s0165-4101(98)00026-3}
}

@article{econhot_econhot-cited-a11bf2a6e030e667,
  title = {Data-Snooping Biases in Tests of Financial Asset Pricing Models},
  author = {Andrew W. Lo and A. Craig MacKinlay},
  journal = {Review of Financial Studies},
  year = {1990},
  volume = {3},
  number = {3},
  pages = {431-467},
  doi = {10.1093/rfs/3.3.431},
  url = {https://doi.org/10.1093/rfs/3.3.431}
}

@article{econhot_econhot-cited-f57d7e174b98fb5a,
  title = {Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices},
  author = {Yacine Aı̈t-Sahalia and Andrew W. Lo},
  journal = {The Journal of Finance},
  year = {1998},
  volume = {53},
  number = {2},
  pages = {499-547},
  doi = {10.1111/0022-1082.215228},
  url = {https://doi.org/10.1111/0022-1082.215228}
}

@article{econhot_econhot-cited-6f216d3e971be802,
  title = {Macro Factors in Bond Risk Premia},
  author = {Sydney C. Ludvigson and Serena Ng},
  journal = {Review of Financial Studies},
  year = {2009},
  volume = {22},
  number = {12},
  pages = {5027-5067},
  doi = {10.1093/rfs/hhp081},
  url = {https://doi.org/10.1093/rfs/hhp081}
}

@article{econhot_econhot-cited-b5de4e9d5fbdefba,
  title = {Forecasting Output and Inflation: The Role of Asset Prices},
  author = {James H. Stock and Mark W. Watson},
  journal = {Journal of Economic Literature},
  year = {2003},
  volume = {41},
  number = {3},
  pages = {788-829},
  doi = {10.1257/002205103322436197},
  url = {https://doi.org/10.1257/002205103322436197}
}

@article{econhot_econhot-cited-0783e7326296b343,
  title = {A Cross-Sectional Test of an Investment-Based Asset Pricing Model},
  author = {John H. Cochrane},
  journal = {Journal of Political Economy},
  year = {1996},
  volume = {104},
  number = {3},
  pages = {572-621},
  doi = {10.1086/262034},
  url = {https://doi.org/10.1086/262034}
}

@article{econhot_econhot-cited-b75707c77d53fddd,
  title = {The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models},
  author = {Lars Peter Hansen and Scott F. Richard},
  journal = {Econometrica},
  year = {1987},
  volume = {55},
  number = {3},
  pages = {587},
  doi = {10.2307/1913601},
  url = {https://doi.org/10.2307/1913601}
}

@article{econhot_econhot-cited-fd6c6869028492be,
  title = {Delta-Hedged Gains and the Negative Market Volatility Risk Premium},
  author = {Gurdip Bakshi and Nikunj Kapadia},
  journal = {Review of Financial Studies},
  year = {2003},
  volume = {16},
  number = {2},
  pages = {527-566},
  doi = {10.1093/rfs/hhg002},
  url = {https://doi.org/10.1093/rfs/hhg002}
}