Before revision:  Our model allows us to understand what are the key factors that drive asset prices to identify mispricing of stocks and to generate the mean-variance efficient portfolio. Empirically, our approach outperforms out-of-sample all other benchmark approaches: Our optimal portfolio has an annual Sharpe Ratio of 2.6, we explain 8\% of the variation in individual stock returns and explain over 90\% of average returns for all anomaly sorted portfolios .
After revision:  Our model allows us to understand what are the key factors that drive asset prices and generate profitable investment strategies .