Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns
163 Pages Posted: 13 May 2020 Last revised: 5 Aug 2023
Date Written: April 1, 2020
Abstract
The Internet Appendix collects the formal theoretical derivations, illustrative simulations and additional empirical results. It presents multiple robustness results to support the findings in the main text. Furthermore, it contains the detailed results for each of the 36 cross-sections based on three characteristics.
Keywords: Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning
JEL Classification: G11, G12, C55, C58
Suggested Citation: Suggested Citation
Bryzgalova, Svetlana and Pelger, Markus and Zhu, Jason, Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns (April 1, 2020). Available at SSRN: https://ssrn.com/abstract=3569264
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.