Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns

163 Pages Posted: 13 May 2020 Last revised: 5 Aug 2023

See all articles by Svetlana Bryzgalova

Svetlana Bryzgalova

London Business School - Department of Finance; Centre for Economic Policy Research (CEPR)

Markus Pelger

Stanford University - Department of Management Science & Engineering

Jason Zhu

Stanford University - Management Science & Engineering

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

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

Svetlana Bryzgalova

London Business School - Department of Finance ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Markus Pelger (Contact Author)

Stanford University - Department of Management Science & Engineering ( email )

473 Via Ortega
Stanford, CA 94305-9025
United States

Jason Zhu

Stanford University - Management Science & Engineering ( email )

314L Huang Engineering Center
475 Via Ortega
Stanford, CA 94305
United States

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