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Sector Investment Growth Rates and the Cross Section of Equity Returns

We examine the importance of the information contained in sector investment growth rates for explaining the cross section of equity returns. We propose an empirical specification that outperforms the capital asset pricing model and Cochrane’s (1996) model and performs at least as well as the Fama‐French (1993) and Lettau‐Ludvigson (2001) models in explaining the 25 Fama‐French size‐sorted and book‐to‐market‐sorted portfolios, as well as other sets of test assets.