Does Risk Explain Anomalies? Evidence from Expected Return Estimates
---- Acknowledgements -----
For helpful comments, we thank Adlai Fisher (WFA discussant), Kewei Hou, Ravi Jagannathan, K. C. John Wei (CICF discussant), and other seminar participants at University of Georgia, the Western Finance Association Annual Meetings in 2009, and the China International Conference in Finance in 2010. All remaining errors are our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.