Markus Pelger

Stanford University - Management Science & Engineering

Assistant Professor

473 Via Ortega

Stanford, CA 94305-9025

United States

  • Stanford University - Management Science & Engineering

SCHOLARLY PAPERS

15

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4,147

SSRN CITATIONS
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Top 17,851

in Total Papers Citations

9

CROSSREF CITATIONS

35

Scholarly Papers (15)

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1.

Deep Learning in Asset Pricing

Number of pages: 89 Posted: 04 Apr 2019 Last Revised: 28 Jun 2019
Luyang Chen, Markus Pelger and Jason Zhu
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 753 (32,324)
Citation 6

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No-arbitrage, stock returns, conditional asset pricing model, non-linear factor model, machine learning, deep learning, neural networks, big data, hidden states, GMM

2.

CoCos, Bail-In, and Tail Risk

Office of Financial Research Working Paper No. 0004
Number of pages: 57 Posted: 22 Jul 2013
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Management Science & Engineering
Downloads 530 (51,425)
Citation 16

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contingent convertibles, bail-in, tail risks, rollover risk

3.

Factors That Fit the Time Series and Cross-Section of Stock Returns

Downloads 493 ( 56,370)

Factors That Fit the Time Series and Cross-Section of Stock Returns

Number of pages: 59 Posted: 01 Aug 2018 Last Revised: 28 Nov 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 469 (59,378)

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Cross Section Of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

Factors that Fit the Time Series and Cross-Section of Stock Returns

NBER Working Paper No. w24858
Number of pages: 60 Posted: 01 Aug 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 22 (527,287)
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Factors that Fit the Time Series and Cross-Section of Stock Returns

CEPR Discussion Paper No. DP13049
Number of pages: 62 Posted: 16 Jul 2018 Last Revised: 30 Jul 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 2 (670,502)
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

4.

Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation

Number of pages: 89 Posted: 10 May 2012
Markus Pelger
Stanford University - Management Science & Engineering
Downloads 392 (74,500)
Citation 2

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Contingent Convertible Bond, Banking Regulation, Subprime Mortgage Crisis, Structural Model, Corporate Finance, Kou Processes, Jump Diffusion Processes

5.

Understanding Systematic Risk: A High-Frequency Approach

Journal of Finance, Forthcoming
Number of pages: 101 Posted: 24 Aug 2015 Last Revised: 16 May 2019
Markus Pelger
Stanford University - Management Science & Engineering
Downloads 381 (76,939)
Citation 9

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Systematic Risk, High-dimensional Data, High-Frequency Data, Latent Factors, PCA, Jumps, Cross-Section of Returns, Time-Varying Risk, Industry Factors

6.

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Number of pages: 125 Posted: 25 Mar 2015 Last Revised: 12 May 2018
Markus Pelger
Stanford University - Management Science & Engineering
Downloads 296 (102,325)
Citation 9

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Systematic risk, High-dimensional data, High-frequency data, Latent factor model, PCA, Jumps, Semimartingales, Approximate factor model, Number of factors

7.

Contingent Capital, Tail Risk, and Debt-Induced Collapse

Columbia Business School Research Paper No. 13-90
Number of pages: 49 Posted: 29 Nov 2013 Last Revised: 18 Jun 2015
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Management Science & Engineering
Downloads 271 (112,386)
Citation 2

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Contingent convertible debt, bail-in debt, capital structure, too big to fail

8.

Estimating Latent Asset-Pricing Factors

Downloads 264 (115,525)

Estimating Latent Asset-Pricing Factors

Number of pages: 45 Posted: 21 May 2018 Last Revised: 15 Dec 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 251 (121,117)

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Cross Section of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

Estimating Latent Asset-Pricing Factors

NBER Working Paper No. w24618
Number of pages: 44 Posted: 25 May 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 12 (593,397)
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Estimating Latent Asset-Pricing Factors

CEPR Discussion Paper No. DP12926
Number of pages: 46 Posted: 15 May 2018 Last Revised: 11 Jun 2018
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 1 (684,722)
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

9.

New Performance-Vested Stock Option Schemes

Applied Financial Economics, Forthcoming
Number of pages: 41 Posted: 29 May 2010 Last Revised: 12 Nov 2012
An Chen, Markus Pelger and Klaus Sandmann
University of Ulm, Stanford University - Management Science & Engineering and University of Bonn - The Bonn Graduate School of Economics
Downloads 208 (146,289)
Citation 1

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Executive Stock Options, Asian Options, Parisian Options

10.

How Relative Compensation Can Lead to Herding Behavior

Number of pages: 34 Posted: 15 Feb 2013 Last Revised: 22 Dec 2013
An Chen and Markus Pelger
University of Ulm and Stanford University - Management Science & Engineering
Downloads 165 (180,416)

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relative compensation, management compensation, herding, risk-aversion

11.

State-Varying Factor Models of Large Dimensions

Number of pages: 97 Posted: 01 Feb 2018 Last Revised: 22 Aug 2019
Markus Pelger and Ruoxuan Xiong
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 162 (183,189)
Citation 3

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Factor Analysis, Principle Components, State-Varying, Nonparametric, Kernel-Regression, Large-Dimensional Panel Data, Large N and T

12.

Interpretable Sparse Proximate Factors for Large Dimensions

Number of pages: 61 Posted: 21 May 2018 Last Revised: 03 Apr 2019
Markus Pelger and Ruoxuan Xiong
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 67 (337,166)
Citation 1

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Factor Analysis, Principle Components, Sparse Loading, Interpretability, Large-Dimensional Panel Data, Large N and T

13.

Optimal Stock Option Schemes for Managers

Forthcoming, Review of Managerial Science
Number of pages: 34 Posted: 18 Jan 2012 Last Revised: 16 Aug 2013
An Chen and Markus Pelger
University of Ulm and Stanford University - Management Science & Engineering
Downloads 64 (345,329)
Citation 1

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Different Executive Stock Options, Asian, American and Parisian Options, Welfare Analysis

14.

Optimal Payoff Schemes for Managers (Asymmetric Information Case)

Number of pages: 28 Posted: 18 Jan 2012
An Chen and Markus Pelger
University of Ulm and Stanford University - Management Science & Engineering
Downloads 63 (348,130)

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Different Executive Stock Options, Asian, American and Parisian Options, Welfare Analysis

15.

On the Existence of Sure Profits via Flash Strategies

Number of pages: 16 Posted: 08 Aug 2017 Last Revised: 16 Sep 2018
Claudio Fontana, Markus Pelger and Eckhard Platen
Université Paris VII Denis Diderot, Stanford University - Management Science & Engineering and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 38 (432,680)
Citation 1

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Arbitrage, predictable time, semimartingale; high-frequency trading, right-continuity