St. Louis, MO
United States
Washington University in St. Louis - John M. Olin Business School
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Corporate News, Event Study, Market Efficiency
Cross Section of Returns, Anomalies, Expected Returns, Model Selection
cross section of returns, anomalies, expected returns, model selection
time-varying risk premia, factor investing, partial least squares JEL codes: G10, G12, G14
factor pricing model, neural network, alphas, characteristics, risk premium
Asset Pricing, Factor Models, High-dimensional Methods, Option-implied Risk
Arbitrage, Alpha, Factor Model, Hedge, Principal Components
Cross Section of Returns, Missing Data, Expected Returns, Generalized Method of Moments
Return Drift, Monetary Policy, FOMC, Macro News
return drift, policy speeches, expected returns, macro news
Market Timing, Data Snooping, Multiple Testing, Reality Check, SPA Test, Stepwise Method
Policy Speeches, Macro News, Return Predictability, Expected Returns
Return Predictability, Policy Speeches, Expected Returns, Macro News
return predictability, policy speeches, expected returns, macro news
earnings, delistings
arbitrage, characteristic based model, smart beta, factor pricing
machine learning, factor model, double descent, dense signals
Equity risk premium prediction, data snooping bias
Return Predictability, Data Mining, Empirical Bayes, Penalized Regressions
commodity markets, liquidity, momentum
machine learning explainability, uncertainty, forecast confidence intervals
Asset Pricing, Factor Models, Nonparametric Measures, Spectral Analysis
machine learning, forecast confidence interval, neural networks, factor models, portfolio selection, asymptotic theory
Conditional value-at-risk, Value-at-risk, Heavy tails
