Long-term expected returns appear to vary little, if at all, in the cross section of stocks. We devise a bootstrapping procedure that injects small amounts of variation into expected returns and show that even negligible differences in expected returns, if they existed, would be easy to detect. Markers of such differences, however, are absent from actual stock returns. Our estimates are consistent with production-based asset pricing models such as Berk, Green, and Naik (1999) and Zhang (2005) in which firms’ risks change over time. Our results imply that stock market anomalies have only a limited effect on firm valuations. Joint with Juhani T. Linnainmaa (USC Marshall School of Business; National Bureau of Economic Research (NBER)) and Peter M. Nyberg (Aalto University).