Landon Ross

U.S. Securities and Exchange Commission

SCHOLARLY PAPERS

4

DOWNLOADS

503

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Are Item 1A Risk Factors Priced?

Number of pages: 83 Posted: 23 Apr 2019
Landon Ross
U.S. Securities and Exchange Commission
Downloads 302 (148,504)
Citation 2

Abstract:

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stock returns, risk factors, item 1a

2.

Cash-Hedged Stock Returns

Number of pages: 53 Posted: 07 Jul 2022
Chase P. Ross, Landon Ross and Sharon Y. 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 150 (284,838)

Abstract:

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

3.

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 51 (546,922)

Abstract:

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

4.

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