Fahiz Baba Yara

Indiana University - Kelley School of Business

1309 E. 10th St.

Bloomington, IN 47405

United States

http://www.babayara.com

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 29,866

SSRN RANKINGS

Top 29,866

in Total Papers Downloads

2,321

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (4)

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, Tilburg University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,425 (18,676)
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.

New and Old Sorts: Implications for Asset Pricing

Number of pages: 81 Posted: 06 Mar 2020 Last Revised: 01 Jul 2021
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
Indiana University - Kelley School of Business, Tilburg University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 444 (90,213)
Citation 3

Abstract:

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Characteristics, Persistence, Cross-Sectional Return Predictability, Test Assets, Factor Models

3.

The Factor Model Failure Puzzle

Number of pages: 101 Posted: 23 Nov 2021 Last Revised: 15 Mar 2022
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 303 (138,066)

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.

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 149 (266,044)

Abstract:

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