Batiment Extranef 226
Lausanne, Vaud CH-1015
Switzerland
http://www.hec.unil.ch/agoyal/
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
University of Lausanne
Swiss Finance Institute
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
option returns, implied volatility
Equity Premium, Prediction, Stock Market
G12, G14
Hypothesis testing, False discoveries, Trading strategies
Asset Pricing, Individual Stocks, Factor Loadings, Characteristics, Errors-in-Variables
machine learning, big data, corporate bond returns, cross-sectional return predictability
Momentum, market timing, return predictability
G11, G12, C11
Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
equity premium, prediction, out-of-sample, skepticism
Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution
Asymmetric Correlations, Downside correlations, Retail Investors
Momentum, Market Efficiency, Return Predictability
momentum; information diffusion, market efficiency
asymmetric volatility, informed trades, liquidity based trades
Option Returns, Investor Inattention
Corporate bonds, implied volatility changes, default risk, information diffusion
option trading, price informativeness, stock synchronicity, information acquisition and production
ESG, implied volatility, delta-hedged option return
Financial Distress, Return Anomalies, Misvaluation
financial distress, return anomalies, misvaluation
Order imbalance, disposition effect, tax-loss selling
Order imbalance, turnover, disposition effect, momentum, tax-loss selling, flight-to-quality
Government guarantees, banks, stock returns, size effect
Earnings Announcement, Event Risk, Risk-Neutral Distribution, Implied Volatility Curve
Risk Factors
Mispricing, Default Options, Stock Returns
private equity, manager selection
Distress anomaly, International finance
Asset-Pricing Tests, Power Problem, Extreme-Error Problem, Distance-Based Metrics, Optimal Transport Theory, Bayesian Interpretations, Model Comparisons and Rankings
Asset pricing, Default option
Institutional Investors, Investment
Trading Costs, Determinants of Equity Returns, Liquidity Premia
time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem
Pensions, Asset Management, Plan Sponsors
International, Portfolio Management, Performance