Dissecting Anomalies in Conditional Asset Pricing

The authors thank the editor (Kay Giesecke) and two anonymous referees for valuable comments and suggestions; Bryzgalova et al. (2025) and Freyberger et al. (2025) for sharing their data. The authors also thank Svetlana Bryzgalova, Victor DeMiguel, Patrik Gagliardini (Society for Financial Econometrics discussant), Nikolay Gospodinov (American Finance Association discussant), Daniele Massacci (University of York discussant), Marcus Pelger (American Finance Association session chair), Georgios Skoulakis (Western Finance Association discussant), Michael Weber, and seminar participants at Berlin, IESE Business School, Lancaster University, London Business School, Imperial College London, and Erasmus University Rotterdam for helpful comments.