How the Wealth Was Won: Factors Shares as Market Fundamentals

This paper supplants an earlier paper entitled "Origins of Stock Market Fluctuations." We are grateful to Simcha Barkai, John Y. Campbell, Andrea Eisfeldt, Valentin Haddad, Ralph Koijen, Edward Nelson, Annette Vissing-Jorgensen, and Mindy Xiaolan for helpful comments, and to seminar participants at the October 2020 NBER EF&G meeting, 2020 Women in Macro conference, the 2021 American Finance Association meetings, the January 2021 NBER Long Term Asset Management conference, the Federal Reserve Board, the Harvard University economics department, the HEC Paris Finance department, the Ohio State University Fisher College of Business, the University of California Berkeley Haas School of Business, the University of Chicago Booth School of Business, the University of Michigan Ross School of Business, and the University of Minnesota Carlson School for helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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