This dissertation contains three essays on empirical asset pricing. The first essay presents the first evidence on how macro trends affect equity risk premium, going beyond the literature that rely on only the most recent values. We show that macro trends contribute statistically and economically to the out-of-sample aggregate market return predictability. Moreover, we present novel evidence that nonlinearity matters in market return predictability by combining macro trends with neural networks, yielding an out-of-sample R2 statistic as high as 1.6%.The second essay develops a theory of forward returns for an equity index. We obtain the forward returns using information from derivatives markets, including index option prices and gammas, VIX-futures, and prices of VIX-options. We document a pro-cyclical term structure of S&P 500 forward returns and a robust short-term reversal pattern. Moreover, by designing and implementing a market-timing strategy, we demonstrate that forward equity returns provide real-time trading signals with substantial economic value.The third essay studies the causal effect of short-sale constraints on anomalies by examining an extensive set of 182 anomalies documented in the accounting, finance and economics literature. Our identification strategy relies on a persistent, robust and plausibly exogenous shock to short-selling supply induced by the dividend tax law change in the Job and Growth Tax Relief Reconciliation Act (JGTRRA) of 2003. We find that anomalies become stronger following the dividend record months, driven by stronger overpricing as opposed to underpricing in the post-JGTRRA periods. While the shock magnifies returns to most anomaly types, the valuation anomalies seem unlikely to be driven by mispricing.