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Serhiy Kozak

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2017. "Shrinking the Cross Section," NBER Working Papers 24070, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. > Econometrics > Big Data

Working papers

  1. Serhiy Kozak & Stefan Nagel, 2023. "When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?," NBER Working Papers 31275, National Bureau of Economic Research, Inc.

    Cited by:

    1. Dimos Andronoudis & Massimo Guidolin & Manuela Pedio, 2025. "How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs," BAFFI CAREFIN Working Papers 25241, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    2. Bryan Kelly & Boris Kuznetsov & Semyon Malamud & Teng Andrea Xu, 2024. "Large (and Deep) Factor Models," Papers 2402.06635, arXiv.org.

  2. Stefano Giglio & Bryan T. Kelly & Serhiy Kozak, 2023. "Equity Term Structures without Dividend Strips Data," NBER Working Papers 31119, National Bureau of Economic Research, Inc.

    Cited by:

    1. Prat, Georges & Le Bris, David, 2024. "Term structure of equity risk premia in rough terrain: 150 years of the French stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
    2. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
    3. Li, Kai & Xu, Chenjie, 2024. "Intermediary-based equity term structure," Journal of Financial Economics, Elsevier, vol. 157(C).
    4. Chibane, Messaoud & Poncet, Patrice, 2025. "Housing rare disaster events and asset prices," Economic Modelling, Elsevier, vol. 147(C).

  3. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020. "Factor Timing," NBER Working Papers 26708, National Bureau of Economic Research, Inc.

    Cited by:

    1. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
    2. Mikhail Chernov & Lars A Lochstoer & Stig R H Lundeby, 2022. "Conditional Dynamics and the Multihorizon Risk-Return Trade-Off," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1310-1347.
    3. de Oliveira Souza, Thiago, 2019. "Macro-finance and factor timing: Time-varying factor risk and price of risk premiums," Discussion Papers on Economics 7/2019, University of Southern Denmark, Department of Economics.
    4. Cho, Thummim, 2020. "Turning alphas into betas: Arbitrage and endogenous risk," Journal of Financial Economics, Elsevier, vol. 137(2), pages 550-570.

  4. Nagel, Stefan & Santosh, Shrihari & Kozak, Serhiy, 2017. "Shrinking the Cross Section," CEPR Discussion Papers 12463, C.E.P.R. Discussion Papers.

    Cited by:

    1. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
    3. Cui, Mengqi & Li, Daye, 2024. "A four-factor model based on factor momentum," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
    4. Carl Remlinger & Bri`ere Marie & Alasseur Cl'emence & Joseph Mikael, 2021. "Expert Aggregation for Financial Forecasting," Papers 2111.15365, arXiv.org, revised Jul 2023.
    5. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    6. Cheng, Mingmian & Liao, Yuan & Yang, Xiye, 2023. "Uniform predictive inference for factor models with instrumental and idiosyncratic betas," Journal of Econometrics, Elsevier, vol. 237(2).
    7. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2023. "Machine learning goes global: Cross-sectional return predictability in international stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
    8. Molero-González, L. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & García-Medina, A., 2023. "Market Beta is not dead: An approach from Random Matrix Theory," Finance Research Letters, Elsevier, vol. 55(PA).
    9. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.
    10. Cong, Lin William & Feng, Guanhao & He, Jingyu & He, Xin, 2025. "Growing the efficient frontier on panel trees," Journal of Financial Economics, Elsevier, vol. 167(C).
    11. Maysam Khodayari Gharanchaei & Prabhu Prasad Panda & Xilin Chen, 2024. "Quantitative Investment Diversification Strategies via Various Risk Models," Papers 2407.01550, arXiv.org.
    12. Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
    13. Anna Brzozowska & Dagmara Bubel, 2020. "Estimation of the Imperative of Rural Area Development on Panel Data in the Process of Managing Agricultural Holdings in Poland," Agriculture, MDPI, vol. 10(7), pages 1-20, July.
    14. Neely, Christopher J., 2022. "How persistent are unconventional monetary policy effects?," Journal of International Money and Finance, Elsevier, vol. 126(C).
    15. Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
    16. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
    17. Pedro M. Mirete-Ferrer & Alberto Garcia-Garcia & Juan Samuel Baixauli-Soler & Maria A. Prats, 2022. "A Review on Machine Learning for Asset Management," Risks, MDPI, vol. 10(4), pages 1-46, April.
    18. Sun, Chuanping, 2024. "Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach," Journal of Empirical Finance, Elsevier, vol. 77(C).
    19. Malakhov, Alexey & Riley, Timothy B. & Yan, Qing, 2024. "Do hedge funds bet against beta?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1507-1525.
    20. Croux, Christophe & Jagtiani, Julapa & Korivi, Tarunsai & Vulanovic, Milos, 2020. "Important factors determining Fintech loan default: Evidence from a lendingclub consumer platform," Journal of Economic Behavior & Organization, Elsevier, vol. 173(C), pages 270-296.
    21. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2017. "Economic Predictions with Big Data: The Illusion Of Sparsity," CEPR Discussion Papers 12256, C.E.P.R. Discussion Papers.
    22. Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
    23. Andrew Y Chen & Tom Zimmermann & Jeffrey Pontiff, 2020. "Publication Bias and the Cross-Section of Stock Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(2), pages 249-289.
    24. Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
    25. Cong Wang, 2024. "Stock return prediction with multiple measures using neural network models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
    26. Guo, Li & Sang, Bo & Tu, Jun & Wang, Yu, 2024. "Cross-cryptocurrency return predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
    27. Uddin, Ajim & Yu, Dantong, 2020. "Latent factor model for asset pricing," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    28. Andrew Y. Chen, 2019. "The Limits of p-Hacking : A Thought Experiment," Finance and Economics Discussion Series 2019-016, Board of Governors of the Federal Reserve System (U.S.).
    29. Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    30. Siddhartha Chib & Simon C. Smith, 2024. "Factor Selection and Structural Breaks," Finance and Economics Discussion Series 2024-037, Board of Governors of the Federal Reserve System (U.S.).
    31. Chen, Andrew Y. & McCoy, Jack, 2024. "Missing values handling for machine learning portfolios," Journal of Financial Economics, Elsevier, vol. 155(C).
    32. Hoang, Daniel & Wiegratz, Kevin, 2022. "Machine learning methods in finance: Recent applications and prospects," Working Paper Series in Economics 158, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    33. Ghosh, Anisha & Julliard, Christian & Taylor, Alex. P, 2025. "An information-theoretic asset pricing model," LSE Research Online Documents on Economics 126155, London School of Economics and Political Science, LSE Library.
    34. Martin, Ian & Nagel, Stefan, 2019. "Market Efficiency in the Age of Big Data," CEPR Discussion Papers 14235, C.E.P.R. Discussion Papers.
    35. Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
    36. Shunyao Wang & Ming Cheng & Christina Dan Wang, 2025. "NewsNet-SDF: Stochastic Discount Factor Estimation with Pretrained Language Model News Embeddings via Adversarial Networks," Papers 2505.06864, arXiv.org.
    37. Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
    38. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    39. Andre Guettler & Mahvish Naeem & Lars Norden & Bernardus F Nazar Van Doornik, 2024. "Pre-publication revisions of bank financial statements: a novel way to monitor banks?," BIS Working Papers 1177, Bank for International Settlements.
    40. David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2020. "Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified," Swiss Finance Institute Research Paper Series 20-82, Swiss Finance Institute, revised May 2023.
    41. Yousaf, Imran & Bejaoui, Azza & Ali, Shoaib & Li, Yanshuang, 2024. "Demystifying the dynamic relationship between news sentiment index and ESG stocks: Evidence from time-frequency wavelet analysis," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    42. Luyang Chen & Markus Pelger & Jason Zhu, 2019. "Deep Learning in Asset Pricing," Papers 1904.00745, arXiv.org, revised Aug 2021.
    43. Van Nieuwerburgh, Stijn & Gupta, Arpit, 2019. "Valuing Private Equity Strip by Strip," CEPR Discussion Papers 14241, C.E.P.R. Discussion Papers.
    44. Ruoxuan Xiong & Markus Pelger, 2019. "Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference," Papers 1910.08273, arXiv.org, revised Jan 2022.
    45. Lin William Cong & Guanhao Feng & Jingyu He & Xin He, 2022. "Growing the Efficient Frontier on Panel Trees," NBER Working Papers 30805, National Bureau of Economic Research, Inc.
    46. Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
    47. Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023. "Machine-learning the skill of mutual fund managers," Journal of Financial Economics, Elsevier, vol. 150(1), pages 94-138.
    48. Penaranda, Francisco & Sentana, Enrique, 2024. "Portfolio management with big data," CEPR Discussion Papers 19314, C.E.P.R. Discussion Papers.
    49. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam, 2024. "Cryptocurrency anomalies and economic constraints," International Review of Financial Analysis, Elsevier, vol. 94(C).
    50. Celso Brunetti & Marc Joëts & Valérie Mignon, 2023. "Reasons Behind Words: OPEC Narratives and the Oil Market," Working Papers hal-04196053, HAL.
    51. Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
    52. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
    53. Baba-Yara, Fahiz & Boons, Martijn & Tamoni, Andrea, 2024. "Persistent and transitory components of firm characteristics: Implications for asset pricing," Journal of Financial Economics, Elsevier, vol. 154(C).
    54. Yan, Jingda & Yu, Jialin, 2023. "Cross-stock momentum and factor momentum," Journal of Financial Economics, Elsevier, vol. 150(2).
    55. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    56. Yoshimasa Uematsu & Takashi Yamagata, 2020. "Inference in Weak Factor Models," ISER Discussion Paper 1080, Institute of Social and Economic Research, The University of Osaka.
    57. Ouyang, Ruolan & Zhang, Kun & Zhang, Xuan & Zhu, Dongming, 2024. "Can factor momentum beat momentum factor? Evidence from China," Finance Research Letters, Elsevier, vol. 62(PA).
    58. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    59. Arpit Gupta & Stijn Van Nieuwerburgh, 2021. "Valuing Private Equity Investments Strip by Strip," Journal of Finance, American Finance Association, vol. 76(6), pages 3255-3307, December.
    60. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    61. Martin Lettau & Markus Pelger, 2018. "Estimating Latent Asset-Pricing Factors," NBER Working Papers 24618, National Bureau of Economic Research, Inc.
    62. Božović, Miloš, 2024. "VIX-managed portfolios," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    63. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
    64. Beckmeyer, Heiner & Wiedemann, Timo, 2022. "Recovering Missing Firm Characteristics with Attention-Based Machine Learning," VfS Annual Conference 2022 (Basel): Big Data in Economics 264135, Verein für Socialpolitik / German Economic Association.
    65. Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
    66. Feng, Guanhao & He, Jingyu, 2022. "Factor investing: A Bayesian hierarchical approach," Journal of Econometrics, Elsevier, vol. 230(1), pages 183-200.
    67. Georges, Christophre & Pereira, Javier, 2021. "Market stability with machine learning agents," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    68. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org, revised Sep 2024.
    69. Andrew Y. Chen & Jack McCoy, 2022. "Missing Values Handling for Machine Learning Portfolios," Papers 2207.13071, arXiv.org, revised Jan 2024.
    70. Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
    71. Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
    72. Firoozye, Nikan & Tan, Vincent & Zohren, Stefan, 2023. "Canonical portfolios: Optimal asset and signal combination," Journal of Banking & Finance, Elsevier, vol. 154(C).
    73. Bank, Matthias & Insam, Franz, 2021. "Corporate aging and changes in the pricing of stock characteristics," Finance Research Letters, Elsevier, vol. 42(C).
    74. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
    75. Wu, Hongxu & Wang, Qiao & Li, Jianping & Deng, Zhibin, 2025. "Enhancing stock return prediction in the Chinese market: A GAN-based approach," Research in International Business and Finance, Elsevier, vol. 75(C).
    76. Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023. "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, vol. 122(C).
    77. Guanhao Feng & Jingyu He & Nicholas G. Polson, 2018. "Deep Learning for Predicting Asset Returns," Papers 1804.09314, arXiv.org, revised Apr 2018.
    78. Mekelburg, Erik & Strauss, Jack, 2024. "Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data," Journal of Empirical Finance, Elsevier, vol. 79(C).
    79. Caio Vigo Pereira, 2020. "Portfolio Efficiency with High-Dimensional Data as Conditioning Information," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202015, University of Kansas, Department of Economics, revised Sep 2020.
    80. Bagnara, Matteo & Goodarzi, Milad, 2023. "Clustering-based sector investing," SAFE Working Paper Series 397, Leibniz Institute for Financial Research SAFE.
    81. Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz, 2017. "Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?," Working Papers on Finance 1717, University of St. Gallen, School of Finance, revised Mar 2020.
    82. Wang, Feifei & Yan, Xuemin Sterling, 2021. "Downside risk and the performance of volatility-managed portfolios," Journal of Banking & Finance, Elsevier, vol. 131(C).
    83. Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022. "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, vol. 59(PB).
    84. Mao, Jie & Shao, Jingjing & Wang, Weiguan, 2025. "Risk premium principal components for the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 89(C).
    85. Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
    86. Ai He & Guofu Zhou, 2023. "Diagnostics for asset pricing models," Financial Management, Financial Management Association International, vol. 52(4), pages 617-642, December.
    87. Cássio Roberto de Andrade Alves & Márcio Laurini, 2023. "Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach," Mathematics, MDPI, vol. 11(17), pages 1-20, September.
    88. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam & Cakici, Nusret, 2025. "A factor model for the cross-section of country equity risk premia," Journal of Banking & Finance, Elsevier, vol. 171(C).
    89. Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," Papers 2009.03394, arXiv.org, revised Jul 2021.
    90. Wolfgang Drobetz & Tizian Otto, 2021. "Empirical asset pricing via machine learning: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 507-538, December.
    91. Shi, Yun & Kong, Lingjie & Yang, Lanzhi & Li, Duan & Cui, Xiangyu, 2024. "Dynamic mean-variance portfolio selection under factor models," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    92. Doron Avramov & Si Cheng & Lior Metzker, 2023. "Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability," Management Science, INFORMS, vol. 69(5), pages 2587-2619, May.
    93. Guilherme V. Moura & Andr'e P. Santos & Hudson S. Torrent, 2025. "Variable selection for minimum-variance portfolios," Papers 2508.14986, arXiv.org.
    94. Ma, Tian & Liao, Cunfei & Jiang, Fuwei, 2024. "Factor momentum in the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 75(C).
    95. Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2223-2273.
    96. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
    97. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
    98. Alexander Arimond & Damian Borth & Andreas Hoepner & Michael Klawunn & Stefan Weisheit, 2020. "Neural Networks and Value at Risk," Papers 2005.01686, arXiv.org, revised May 2020.
    99. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2025. "Predicting commodity returns: Time series vs. cross sectional prediction models," Journal of Commodity Markets, Elsevier, vol. 38(C).
    100. Jorge Guijarro-Ordonez & Markus Pelger & Greg Zanotti, 2021. "Deep Learning Statistical Arbitrage," Papers 2106.04028, arXiv.org, revised Oct 2022.
    101. Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021. "Can machine learning help to select portfolios of mutual funds?," Economics Working Papers 1772, Department of Economics and Business, Universitat Pompeu Fabra.
    102. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
    103. Wang, Jinzhe & Zhu, Yifeng, 2024. "A comparison of factor models in China," Journal of Empirical Finance, Elsevier, vol. 79(C).
    104. Dohyun Chun & Jongho Kang & Jihun Kim, 2024. "Forecasting returns with machine learning and optimizing global portfolios: evidence from the Korean and U.S. stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
    105. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
    106. Chinco, Alex & Neuhierl, Andreas & Weber, Michael, 2021. "Estimating the anomaly base rate," Journal of Financial Economics, Elsevier, vol. 140(1), pages 101-126.
    107. Sak, Halis & Huang, Tao & Chng, Michael T., 2024. "Exploring the factor zoo with a machine-learning portfolio," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    108. Stanislav Anatolyev & Anna Mikusheva, 2018. "Factor models with many assets: strong factors, weak factors, and the two-pass procedure," Papers 1807.04094, arXiv.org, revised Apr 2019.
    109. Son, Bumho & Lee, Jaewook, 2022. "Graph-based multi-factor asset pricing model," Finance Research Letters, Elsevier, vol. 44(C).
    110. Solène Collot & Tobias Hemauer, 2021. "A literature review of new methods in empirical asset pricing: omitted-variable and errors-in-variable bias," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 77-100, March.
    111. João Gabriel Moraes Souza & Daniel Tavares Castro & Yaohao Peng & Ivan Ricardo Gartner, 2024. "A Machine Learning-Based Analysis on the Causality of Financial Stress in Banking Institutions," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1857-1890, September.
    112. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2025. "Volatility forecasting and volatility-timing strategies: A machine learning approach," Research in International Business and Finance, Elsevier, vol. 75(C).
    113. Chen, Yi-Hsuan & Kräussl, Roman & Verwijmeren, Patrick, 2023. "The pricing of digital art," CFS Working Paper Series 716, Center for Financial Studies (CFS).
    114. Langlois, Hugues, 2023. "What matters in a characteristic?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 52-72.
    115. Rafael Branco & Alexandre Rubesam & Mauricio Zevallos, 2024. "Forecasting realized volatility: Does anything beat linear models?," Post-Print hal-04835657, HAL.
    116. Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
    117. Rubesam, Alexandre, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Emerging Markets Review, Elsevier, vol. 51(PB).
    118. Raymond Kan & Xiaolu Wang & Guofu Zhou, 2022. "Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case," Management Science, INFORMS, vol. 68(3), pages 2047-2068, March.
    119. Belloni, Alexandre & Chen, Mingli & Madrid Padilla, Oscar Hernan & Wang, Zixuan (Kevin), 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," The Warwick Economics Research Paper Series (TWERPS) 1230, University of Warwick, Department of Economics.
    120. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
    121. Khoa Hoang & Robert Faff, 2021. "Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 95-124, March.
    122. Alois Weigand, 2019. "Machine learning in empirical asset pricing," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 93-104, March.
    123. Wan, Runzhe & Li, Yingying & Lu, Wenbin & Song, Rui, 2024. "Mining the factor zoo: Estimation of latent factor models with sufficient proxies," Journal of Econometrics, Elsevier, vol. 239(2).
    124. Yuan Liao & Xinjie Ma & Andreas Neuhierl & Linda Schilling, 2025. "The Uncertainty of Machine Learning Predictions in Asset Pricing," Papers 2503.00549, arXiv.org.
    125. B. Li & S. Boubaker & Z. Liu & W. Louhichi & Y. Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Post-Print hal-04435519, HAL.
    126. Vedolin, Andrea & Korsaye, Sofonias Alemu & Trojani, Fabio, 2020. "The Global Factor Structure of Exchange Rates," CEPR Discussion Papers 15337, C.E.P.R. Discussion Papers.
    127. Peng, Yaohao & de Moraes Souza, João Gabriel, 2024. "Chaos, overfitting and equilibrium: To what extent can machine learning beat the financial market?," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    128. Evangelos Liaras & Michail Nerantzidis & Antonios Alexandridis, 2024. "Machine learning in accounting and finance research: a literature review," Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1431-1471, November.
    129. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
    130. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.
    131. Bagnara, Matteo, 2024. "The economic value of cross-predictability: A performance-based measure," SAFE Working Paper Series 424, Leibniz Institute for Financial Research SAFE.
    132. Lu, Zhongjin & Malliaris, Steven & Qin, Zhongling, 2023. "Heterogeneous liquidity providers and night-minus-day return predictability," Journal of Financial Economics, Elsevier, vol. 148(3), pages 175-200.
    133. Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017. "Sparse Signals in the Cross-Section of Returns," NBER Working Papers 23933, National Bureau of Economic Research, Inc.
    134. Colak, Gonul & Fu, Mengchuan & Hasan, Iftekhar, 2022. "On modeling IPO failure risk," Economic Modelling, Elsevier, vol. 109(C).
    135. Jiang, Fuwei & Liu, Hongkui & Tang, Guohao & Yu, Jiasheng, 2024. "Global mispricing matters," Journal of International Money and Finance, Elsevier, vol. 147(C).
    136. Cakici, Nusret & Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2025. "Factor momentum versus price momentum: Insights from international markets," Journal of Banking & Finance, Elsevier, vol. 170(C).
    137. Bo Yu & Dayong Zhang & Qiang Ji, 2025. "Forecasting portfolio variance: a new decomposition approach," Annals of Operations Research, Springer, vol. 348(1), pages 543-578, May.
    138. Hyuksoo Kim & Saejoon Kim, 2024. "Estimating Asset Pricing Models in the Presence of Cross-Sectionally Correlated Pricing Errors," Mathematics, MDPI, vol. 12(21), pages 1-21, November.
    139. Victor DeMiguel & Javier Gil-Bazo & Francisco J. Nogales & André A. P. Santos, 2021. "Can Machine Learning Help to Select Portfolios of Mutual Funds?," Working Papers 1245, Barcelona School of Economics.
    140. Kwon, Tae Yeon, 2025. "Feature importance in linear models with ensemble machine learning: A study of the Fama and French five-factor model," Finance Research Letters, Elsevier, vol. 71(C).
    141. Fuwei Jiang & Wei Ning & Hao Xue, 2023. "Factor Timing with Investor Sentiment," Annals of Economics and Finance, Society for AEF, vol. 24(2), pages 401-437, November.
    142. Alexander M. Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2020. "Necessary Evidence For A Risk Factor’s Relevance," NBER Working Papers 27227, National Bureau of Economic Research, Inc.
    143. Yuxiao Jiao & Guofu Zhou & Wu Zhu & Yingzi Zhu, 2025. "Interpretable Factors of Firm Characteristics," Papers 2508.02253, arXiv.org.
    144. van Binsbergen, Jules H. & Boons, Martijn & Opp, Christian C. & Tamoni, Andrea, 2023. "Dynamic asset (mis)pricing: Build-up versus resolution anomalies," Journal of Financial Economics, Elsevier, vol. 147(2), pages 406-431.
    145. Birru, Justin & Gokkaya, Sinan & Liu, Xi & Markov, Stanimir, 2024. "Quants and market anomalies," Journal of Accounting and Economics, Elsevier, vol. 78(1).
    146. Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019. "Characteristics are covariances: A unified model of risk and return," Journal of Financial Economics, Elsevier, vol. 134(3), pages 501-524.
    147. Jing Hao & Feng He & Feng Ma & Shibo Zhang & Xiaotao Zhang, 2025. "Machine learning vs deep learning in stock market investment: an international evidence," Annals of Operations Research, Springer, vol. 348(1), pages 93-115, May.
    148. Molero González, Laura & Cerqueti, Roy & Mattera, Raffaele & Sánchez Granero, Miguel Ángel & Trinidad Segovia, Juan Evangelista, 2025. "Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 665(C).
    149. Alex R. Horenstein, 2021. "The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha," Management Science, INFORMS, vol. 67(6), pages 3655-3673, June.
    150. Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    151. Venky Nagar & Jordan Schoenfeld, 2024. "Measuring weather exposure with annual reports," Review of Accounting Studies, Springer, vol. 29(1), pages 1-32, March.
    152. Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2022. "Belief Distortions and Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 112(7), pages 2269-2315, July.
    153. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
    154. Wang, Chuyu & Zhang, Guanglong, 2025. "In the shadows of opacity: Firm information quality and latent factor model performance," International Review of Financial Analysis, Elsevier, vol. 100(C).
    155. Liu, Tingting & Lu, Zhongjin (Gene) & Shu, Tao & Wei, Fengrong, 2022. "Unique bidder-target relatedness and synergies creation in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 73(C).
    156. Hongyi Liu, 2025. "Deep Learning for Conditional Asset Pricing Models," Papers 2509.04812, arXiv.org.
    157. Lavko, Matus & Klein, Tony & Walther, Thomas, 2023. "Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods," QBS Working Paper Series 2023/01, Queen's University Belfast, Queen's Business School.
    158. De Nard, Gianluca & Zhao, Zhao, 2023. "Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 23-35.
    159. Jian'an Zhang, 2025. "FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management," Papers 2510.02986, arXiv.org.
    160. Zheng Tracy Ke & Bryan T. Kelly & Dacheng Xiu, 2019. "Predicting Returns With Text Data," NBER Working Papers 26186, National Bureau of Economic Research, Inc.
    161. Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019. "Multivariate Crash Risk," Working Papers on Finance 1901, University of St. Gallen, School of Finance.
    162. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.

  5. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.

    Cited by:

    1. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
    2. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    3. Lars A. Lochstoer & Paul C. Tetlock, 2020. "What Drives Anomaly Returns?," Journal of Finance, American Finance Association, vol. 75(3), pages 1417-1455, June.

Articles

  1. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    See citations under working paper version above.
  2. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.

    Cited by:

    1. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    2. Pflueger, Carolin, 2025. "Back to the 1980s or not? The drivers of inflation and real risks in Treasury bonds," Journal of Financial Economics, Elsevier, vol. 167(C).
    3. Gregory R Duffee, 2023. "Macroeconomic News and Stock–Bond Comovement," Review of Finance, European Finance Association, vol. 27(5), pages 1859-1882.
    4. Sungjun Cho & Liu Liu, 2023. "Correcting estimation bias in regime switching dynamic term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1093-1127, October.
    5. Wang, Yanning & Wang, Xichen, 2024. "The role of central bank communication in the long-term stock-bond correlations: Evidence from China," Finance Research Letters, Elsevier, vol. 67(PB).
    6. Husain, Afzol & Karim, Sitara & Sensoy, Ahmet, 2024. "Financial fusion: Bridging Islamic and Green investments in the European stock market," International Review of Financial Analysis, Elsevier, vol. 94(C).
    7. Raphaelle G. Coulombe & James McNeil, 2025. "The term structure of interest rates in a noisy information model," Working Papers daleconwp2025-01, Dalhousie University, Department of Economics.

  3. Kozak, Serhiy & Santosh, Shrihari, 2020. "Why do discount rates vary?," Journal of Financial Economics, Elsevier, vol. 137(3), pages 740-751.

    Cited by:

    1. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    2. Nian, Victor & Mignacca, Benito & Locatelli, Giorgio, 2022. "Policies toward net-zero: Benchmarking the economic competitiveness of nuclear against wind and solar energy," Applied Energy, Elsevier, vol. 320(C).
    3. Ajab Khan, 2024. "Nexus Between Discount Rate and Industrial Performance," Global Business Review, International Management Institute, vol. 25(6), pages 1590-1602, December.
    4. Pflueger, Carolin, 2025. "Back to the 1980s or not? The drivers of inflation and real risks in Treasury bonds," Journal of Financial Economics, Elsevier, vol. 167(C).
    5. Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
    6. Indrajit Mitra & Taeuk Seo & Yu Xu, 2021. "High Discounts and Low Fundamental Surplus: An Equivalence Result for Unemployment Fluctuations," FRB Atlanta Working Paper 2021-22, Federal Reserve Bank of Atlanta.
    7. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
    8. Fuwei Jiang & Wei Ning & Hao Xue, 2023. "Factor Timing with Investor Sentiment," Annals of Economics and Finance, Society for AEF, vol. 24(2), pages 401-437, November.
    9. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    10. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.

  4. Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2020. "Shrinking the cross-section," Journal of Financial Economics, Elsevier, vol. 135(2), pages 271-292.
    See citations under working paper version above.
  5. Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
    See citations under working paper version above.
  6. Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2018. "Interpreting Factor Models," Journal of Finance, American Finance Association, vol. 73(3), pages 1183-1223, June.

    Cited by:

    1. Azi Ben‐Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2021. "Information Consumption and Asset Pricing," Journal of Finance, American Finance Association, vol. 76(1), pages 357-394, February.
    2. Cong, Lin William & Feng, Guanhao & He, Jingyu & He, Xin, 2025. "Growing the efficient frontier on panel trees," Journal of Financial Economics, Elsevier, vol. 167(C).
    3. Maysam Khodayari Gharanchaei & Prabhu Prasad Panda & Xilin Chen, 2024. "Quantitative Investment Diversification Strategies via Various Risk Models," Papers 2407.01550, arXiv.org.
    4. Wagner, Alexander F. & Schrimpf, Paul & Petzev, Ivan, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
    5. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
    6. Gregory Nazaire & Maria Pacurar & Oumar Sy, 2020. "Betas versus characteristics: A practical perspective," European Financial Management, European Financial Management Association, vol. 26(5), pages 1385-1413, November.
    7. Pedro M. Mirete-Ferrer & Alberto Garcia-Garcia & Juan Samuel Baixauli-Soler & Maria A. Prats, 2022. "A Review on Machine Learning for Asset Management," Risks, MDPI, vol. 10(4), pages 1-46, April.
    8. Jia, Yuecheng & Liu, Yuzheng & Wu, Yangru & Yan, Shu, 2024. "Information spillover and cross-predictability of currency returns: An analysis via Machine Learning," Journal of Banking & Finance, Elsevier, vol. 169(C).
    9. Yu Wang & Haicheng Shu, 2019. "Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China," Working Papers 2019-10-10, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    10. José Luis Montiel Olea & Pietro Ortoleva & Mallesh Pai & Andrea Prat, 2021. "Competing Models," Working Papers 2021-89, Princeton University. Economics Department..
    11. Kang, Hankil & Ryu, Doojin, 2019. "Information in mispricing factors for future investment opportunities," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 657-668.
    12. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
    13. Jules H van Binsbergen & Xiao Han & Alejandro Lopez-Lira, 2023. "Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases," The Review of Financial Studies, Society for Financial Studies, vol. 36(6), pages 2361-2396.
    14. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
    15. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    16. Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
    17. Yuhan Cheng & Heyang Zhou & Yanchu Liu, 2025. "Large Language Models and Futures Price Factors in China," Papers 2509.23609, arXiv.org.
    18. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    19. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
    20. Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
    21. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    22. James J. Choi & Adriana Z. Robertson, 2018. "What Matters to Individual Investors? Evidence from the Horse’s Mouth," NBER Working Papers 25019, National Bureau of Economic Research, Inc.
    23. Ma, Tian & Leong, Wen Jun & Jiang, Fuwei, 2023. "A latent factor model for the Chinese stock market," International Review of Financial Analysis, Elsevier, vol. 87(C).
    24. Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 333-376.
    25. Nagel, Stefan & Santosh, Shrihari & Kozak, Serhiy, 2017. "Shrinking the Cross Section," CEPR Discussion Papers 12463, C.E.P.R. Discussion Papers.
    26. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
    27. Lin William Cong & Guanhao Feng & Jingyu He & Xin He, 2022. "Growing the Efficient Frontier on Panel Trees," NBER Working Papers 30805, National Bureau of Economic Research, Inc.
    28. Gu, Shihao & Kelly, Bryan & Xiu, Dacheng, 2021. "Autoencoder asset pricing models," Journal of Econometrics, Elsevier, vol. 222(1), pages 429-450.
    29. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
    30. Obaid, Khaled & Pukthuanthong, Kuntara, 2022. "A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news," Journal of Financial Economics, Elsevier, vol. 144(1), pages 273-297.
    31. Clarke, Charles, 2022. "The level, slope, and curve factor model for stocks," Journal of Financial Economics, Elsevier, vol. 143(1), pages 159-187.
    32. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
    33. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    34. Mosoeu, Selebogo & Kodongo, Odongo, 2022. "The Fama-French five-factor model and emerging market equity returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 55-76.
    35. Aloosh, Arash & Ouzan, Samuel & Shahzad, Syed Jawad Hussain, 2022. "Bubbles across Meme Stocks and Cryptocurrencies," Finance Research Letters, Elsevier, vol. 49(C).
    36. Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
    37. Ouyang, Ruolan & Zhang, Kun & Zhang, Xuan & Zhu, Dongming, 2024. "Can factor momentum beat momentum factor? Evidence from China," Finance Research Letters, Elsevier, vol. 62(PA).
    38. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    39. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2020. "Estimation of large dimensional conditional factor models in finance," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 219-282, Elsevier.
    40. Santi, Caterina, 2023. "Investor climate sentiment and financial markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    41. Andrew Y. Chen, 2022. "Most claimed statistical findings in cross-sectional return predictability are likely true," Papers 2206.15365, arXiv.org, revised Oct 2025.
    42. Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022. "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, vol. 146(1), pages 305-330.
    43. Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
    44. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org, revised Sep 2024.
    45. Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020. "Factor Timing," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
    46. Firoozye, Nikan & Tan, Vincent & Zohren, Stefan, 2023. "Canonical portfolios: Optimal asset and signal combination," Journal of Banking & Finance, Elsevier, vol. 154(C).
    47. Bank, Matthias & Insam, Franz, 2021. "Corporate aging and changes in the pricing of stock characteristics," Finance Research Letters, Elsevier, vol. 42(C).
    48. Hwang, Soosung & Rubesam, Alexandre & Salmon, Mark, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Journal of International Money and Finance, Elsevier, vol. 111(C).
    49. Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2020. "Belief Overreaction and Stock Market Puzzles," NBER Working Papers 27283, National Bureau of Economic Research, Inc.
    50. Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
    51. Joel M. Vanden, 2021. "Equilibrium asset pricing and the cross section of expected returns," Annals of Finance, Springer, vol. 17(2), pages 153-186, June.
    52. Barroso, Pedro & Detzel, Andrew, 2021. "Do limits to arbitrage explain the benefits of volatility-managed portfolios?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 744-767.
    53. Mao, Jie & Shao, Jingjing & Wang, Weiguan, 2025. "Risk premium principal components for the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 89(C).
    54. Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
    55. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
    56. Kent Daniel & David Hirshleifer & Lin Sun, 2020. "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
    57. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
    58. Chinco, Alex & Neuhierl, Andreas & Weber, Michael, 2021. "Estimating the anomaly base rate," Journal of Financial Economics, Elsevier, vol. 140(1), pages 101-126.
    59. Barroso, Pedro & Detzel, Andrew & Maio, Paulo, 2025. "The volatility puzzle of the beta anomaly," Journal of Financial Economics, Elsevier, vol. 165(C).
    60. Robert F. Stambaugh & Yu Yuan, 2015. "Mispricing Factors," NBER Working Papers 21533, National Bureau of Economic Research, Inc.
    61. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
    62. Zihang Peng, 2023. "Do risk exposures explain accounting anomalies? A new testing method," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(3), pages 2965-2983, September.
    63. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2024. "Consumption in asset returns," LSE Research Online Documents on Economics 126152, London School of Economics and Political Science, LSE Library.
    64. Antoine Falck & Adam Rej & David Thesmar, 2021. "Why and how systematic strategies decay," Papers 2105.01380, arXiv.org.
    65. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2022. "Common Risk Factors in Cryptocurrency," Journal of Finance, American Finance Association, vol. 77(2), pages 1133-1177, April.
    66. Matthew F. Dixon & Nicholas G. Polson & Kemen Goicoechea, 2022. "Deep Partial Least Squares for Empirical Asset Pricing," Papers 2206.10014, arXiv.org.
    67. Konstantin Gorgen & Abdolreza Nazemi & Melanie Schienle, 2022. "Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates," Papers 2206.06026, arXiv.org.
    68. Sina Ehsani & Juhani T. Linnainmaa, 2022. "Factor Momentum and the Momentum Factor," Journal of Finance, American Finance Association, vol. 77(3), pages 1877-1919, June.
    69. Christopher G. Lamoureux & Huacheng Zhang, 2021. "An Empirical Assessment of Characteristics and Optimal Portfolios," Papers 2104.12975, arXiv.org, revised Feb 2024.
    70. Christian Fieberg & Gerrit Liedtke & Thorsten Poddig, 2025. "Recurrent double-conditional factor model," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 47(1), pages 205-254, March.
    71. Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
    72. Jozef Barunik & Matej Nevrla, 2022. "Beyond Volatility: Common Factors in Idiosyncratic Quantile Risks," Papers 2208.14267, arXiv.org, revised Aug 2025.
    73. Liao Zhu, 2021. "The Adaptive Multi-Factor Model and the Financial Market," Papers 2107.14410, arXiv.org, revised Aug 2021.
    74. Bagnara, Matteo, 2024. "The economic value of cross-predictability: A performance-based measure," SAFE Working Paper Series 424, Leibniz Institute for Financial Research SAFE.
    75. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
    76. Tran, Vu Le, 2023. "Sentiment and covariance characteristics," International Review of Financial Analysis, Elsevier, vol. 86(C).
    77. Fabozzi, Frank J. & Huang, Dashan & Jiang, Fuwei & Wang, Jiexun, 2024. "What difference do new factor models make in portfolio allocation?," Journal of International Money and Finance, Elsevier, vol. 140(C).
    78. Doron Avramov & Si Cheng & Allaudeen Hameed, 2020. "Mutual Funds and Mispriced Stocks," Management Science, INFORMS, vol. 66(6), pages 2372-2395, June.
    79. Favero, Carlo A. & Melone, Alessandro, 2020. "Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models," CEPR Discussion Papers 14417, C.E.P.R. Discussion Papers.
    80. Andrew Y. Chen, 2021. "The Limits of p‐Hacking: Some Thought Experiments," Journal of Finance, American Finance Association, vol. 76(5), pages 2447-2480, October.
    81. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
    82. Ding Du & Ou Hu, 2018. "The sentiment premium and macroeconomic announcements," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 207-237, January.
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