Fahiz Baba Yara

Indiana University - Kelley School of Business

1309 E. 10th St.

Bloomington, IN 47405

United States

http://www.babayara.com

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 22,445

SSRN RANKINGS

Top 22,445

in Total Papers Downloads

4,236

SSRN CITATIONS
Rank 46,559

SSRN RANKINGS

Top 46,559

in Total Papers Citations

16

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia

Number of pages: 82 Posted: 17 Oct 2017 Last Revised: 21 Nov 2019
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
Indiana University - Kelley School of Business, Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,758 (18,455)
Citation 4

Abstract:

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Value Premium, Value Spread, Global Asset Pricing, Return Predictability, Alternative Assets, Common and Asset-Class-Specific Value

2.

Persistent and Transitory Components of Characteristics: Implications for Asset Pricing

Number of pages: 87 Posted: 06 Mar 2020 Last Revised: 14 Feb 2023
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
Indiana University - Kelley School of Business, Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 828 (55,120)
Citation 3

Abstract:

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Characteristics, Persistent-Transitory Decomposition, Cross-Sectional Return Predictability, Discount Rates, Asset Pricing Tests

3.

Messy Asset Pricing: Can AI Models Lead to a Consensus?

Number of pages: 134 Posted: 23 Nov 2021 Last Revised: 11 Apr 2024
Fahiz Baba Yara, Brian H. Boyer and Carter Davis
Indiana University - Kelley School of Business, Brigham Young University - J. Willard and Alice S. Marriott School of Management and Kelley School of Business, Indiana University
Downloads 825 (55,354)

Abstract:

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asset pricing, machine learning, factor models, stochastic discount factors, mean-variance efficiency, random forests, neural networks, prediction, Sharpe ratio optimization

4.

Risk from the Inside Out: Understanding Firm Risk through Employee News Consumption

Kelley School of Business Research Paper Forthcoming
Number of pages: 86 Posted: 14 Feb 2023 Last Revised: 11 Apr 2024
Fahiz Baba Yara, Fotis Grigoris and Preetesh Kantak
Indiana University - Kelley School of Business, University of Iowa - Department of Finance and Kelley School of Business
Downloads 361 (153,129)
Citation 1

Abstract:

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Economic Uncertainty, Equity Premium, Risk, Hedging, Investment, Employment

5.

Machine Learning and Return Predictability Across Firms, Time and Portfolios

Number of pages: 73 Posted: 02 Dec 2020 Last Revised: 07 Jan 2021
Fahiz Baba Yara
Indiana University - Kelley School of Business
Downloads 298 (187,991)

Abstract:

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Return Predictability, Long-run Returns, Machine Learning, Neural Networks, Long-short portfolios

6.

Commodity Returns: Lost in Financialization

Kelley School of Business Research Paper No. 2022-4345427
Number of pages: 60 Posted: 02 Feb 2023
Fahiz Baba Yara and Massimiliano Bondatti
Indiana University - Kelley School of Business and Nova School of Business and Economics
Downloads 166 (327,133)

Abstract:

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Commodity futures markets, Commodity risk premium, Latent factor models, Financialization of commodities, Commodity investment strategies