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

19

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52

CROSSREF CITATIONS

48

Scholarly Papers (19)

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1.

Deep Learning in Asset Pricing

Number of pages: 64 Posted: 04 Apr 2019 Last Revised: 03 Jun 2020
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 2,068 (7,631)
Citation 18

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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.

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

Downloads 785 ( 33,550)
Citation 7

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

Number of pages: 61 Posted: 01 Aug 2018 Last Revised: 30 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 758 (34,660)
Citation 6

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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 25 (548,358)

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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 (722,173)
Citation 1
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

3.

Understanding Systematic Risk: A High-Frequency Approach

Journal of Finance, Forthcoming
Number of pages: 55 Posted: 24 Aug 2015 Last Revised: 23 Mar 2020
Markus Pelger
Stanford University - Management Science & Engineering
Downloads 579 (50,469)
Citation 7

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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

4.

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 550 (53,768)
Citation 16

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

5.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 72 Posted: 19 Dec 2019 Last Revised: 21 May 2020
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 445 (70,074)
Citation 2

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning

6.

Estimating Latent Asset-Pricing Factors

Downloads 422 ( 74,654)
Citation 4

Estimating Latent Asset-Pricing Factors

Number of pages: 45 Posted: 21 May 2018 Last Revised: 13 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 409 (76,769)
Citation 2

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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 (640,312)

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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 (736,422)
Citation 1
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Anomalies, Cross Section of Returns, expected returns, high-dimensional data, Latent Factors, PCA, Weak Factors

7.

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 406 (78,126)
Citation 2

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

8.

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 338 (96,461)
Citation 11

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

9.

Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Number of pages: 73 Posted: 28 Oct 2019 Last Revised: 21 Nov 2019
Ruoxuan Xiong and Markus Pelger
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 294 (112,367)
Citation 1

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Factor Analysis, Principal Components, Synthetic Control, Causal Inference, Treatment Effect, Missing Entry, Large-Dimensional Panel Data, Large N and T, Matrix Completion

10.

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 285 (116,144)
Citation 7

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

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 238 (139,791)
Citation 7

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

12.

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 211 (156,888)
Citation 1

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Executive Stock Options, Asian Options, Parisian Options

13.

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 170 (190,768)

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relative compensation, management compensation, herding, risk-aversion

14.

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 127 (241,892)
Citation 2

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

15.

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 67 (364,332)
Citation 1

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

16.

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 66 (367,154)

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

17.

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
University of Padova, Department of Mathematics, Stanford University - Management Science & Engineering and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 51 (415,494)
Citation 2

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

18.

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

Lettau, Martin and Pelger, Markus, Supplemental Appendix for "Factors that Fit the Time Series and Cross-Section of Stock Returns”, 2019
Number of pages: 98 Posted: 06 Dec 2019 Last Revised: 30 Jan 2020
Martin Lettau and Markus Pelger
University of California - Haas School of Business and Stanford University - Management Science & Engineering
Downloads 49 (422,753)
Citation 1

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

19.

Internet Appendix for Deep Learning in Asset Pricing

Number of pages: 51 Posted: 11 Jun 2020
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 31 (499,355)

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Conditional asset pricing model, no-arbitrage, stock returns, non-linear factor model, cross-section of expected returns, machine learning, deep learning, big data, hidden states, GMM

Other Papers (1)

Total Downloads: 15
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1.

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

Number of pages: 117 Posted: 13 May 2020
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 15

Abstract:

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning