This dissertation examines three research questions on empirical asset pricing. First, I study the relation between 39 firm-level characteristics and stock returns in 40 non-U.S. countries using instrumented principal components analysis (IPCA). Second, I study how upstreamness and downstreamness affect stock returns in global value chains. Up- and downstreamness are computed at the industry level from world input-output tables that contain data on global inter-industry trade flows as well as final consumption and primary inputs. Finally, I compare the performance of three enhanced momentum strategies proposed in the literature using data for individual stocks from the U.S. and across 48 international countries.