Louis Federal Reserve, and Yale for helpful comments. We are grateful to Andreas Neuhierl for generously sharing data with us. A previous draft was circulated under the name "Some Characteristics Are Risk Exposures, and the Rest Are Irrelevant." AQR Capital Management is a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described herein. The views expressed here are those of the authors and not necessarily those of AQR or the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.
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