Landon Ross

U.S. Securities and Exchange Commission

SCHOLARLY PAPERS

8

DOWNLOADS

1,228

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Are Item 1A Risk Factors Priced?

Number of pages: 83 Posted: 23 Apr 2019
Landon Ross
U.S. Securities and Exchange Commission
Downloads 381 (146,291)
Citation 1

Abstract:

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stock returns, risk factors, item 1a

2.

Cash-Hedged Stock Returns

Number of pages: 55 Posted: 07 Jul 2022 Last Revised: 30 Nov 2023
Chase P. Ross, Landon Ross and Sharon Y. Ross
Board of Governors of the Federal Reserve System, U.S. Securities and Exchange Commission and Board of Governors of the Federal Reserve System
Downloads 217 (260,702)

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cross-section of expected returns, cash, risk factor, size, value, momentum

3.

Risk Exposures from Risk Disclosures: What They Said and How They Said It

Number of pages: 40 Posted: 30 Nov 2023 Last Revised: 29 Apr 2024
Rahul Mazumder, Seth Pruitt and Landon Ross
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Arizona State University (ASU) - Finance Department and U.S. Securities and Exchange Commission
Downloads 210 (268,763)

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Text Analysis, Asset Pricing, Factor Model, Conditional Betas, Word embedding

4.

Bottom Up vs Top Down: What Does Firm 10-K Tell Us?

Number of pages: 63 Posted: 04 Apr 2024 Last Revised: 30 Apr 2024
U.S. Securities and Exchange Commission, Washington University in St. Louis - John M. Olin Business School, Stanford University, Hong Kong University of Science & Technology (HKUST) - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 117 (445,924)

Abstract:

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Text Analysis, Asset Pricing, Word Dictionary, Word Count

5.

Cash-Hedged Stock Returns

FEDS Working Paper No. 2022-55
Number of pages: 54 Posted: 05 May 2023
Chase P. Ross, Landon Ross and Sharon Ross
Board of Governors of the Federal Reserve System, U.S. Securities and Exchange Commission and Office of Financial Research, US Department of the Treasury
Downloads 113 (448,913)

Abstract:

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value, cross-section of expected returns, cash, size, risk factor, momentum

6.

Expected Returns, Firm Characteristics, and Cardinality Constraints

Number of pages: 99 Posted: 14 Dec 2021 Last Revised: 25 Aug 2022
Landon Ross
U.S. Securities and Exchange Commission
Downloads 97 (499,773)

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Factor model, stochastic discount factor, cross-section, sparsity, machine learning, variable selection, firm characteristics, expected returns, robust regression, minmax optimization

7.

Generating Options-Implied Probability Densities to Understand Oil Market Events

FRB International Finance Discussion Paper No. 1122
Number of pages: 50 Posted: 31 May 2017
Deepa Datta, Juan M. Londono and Landon Ross
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and U.S. Securities and Exchange Commission
Downloads 93 (513,553)
Citation 6

Abstract:

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Options-implied PDFs, futures, options, oil

8.

Are characteristic interactions important to the cross-section of expected returns?

Posted: 10 Jun 2021
Landon Ross
U.S. Securities and Exchange Commission

Abstract:

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cross-sectional expected stock returns, firm characteristics, statistical envelopes, dimension reduction