Svetlana Bryzgalova

London Business School - Department of Finance

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • London Business School - Department of Finance

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

13

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160

Scholarly Papers (13)

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1.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 60 Posted: 19 Dec 2019 Last Revised: 05 Aug 2023
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 6,713 (2,383)
Citation 60

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning

2.

Retail Trading in Options and the Rise of the Big Three Wholesalers

Journal of Finance forthcoming
Number of pages: 128 Posted: 20 Apr 2022 Last Revised: 08 Sep 2023
Svetlana Bryzgalova, Anna Pavlova and Taisiya Sikorskaya
London Business School - Department of Finance, London Business School and University of Chicago - Finance
Downloads 6,133 (2,770)
Citation 63

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Retail, payment for order flow, internalization, WallStreetBets, Rule 606 reports, price improvement auctions

3.

Missing Financial Data

Number of pages: 132 Posted: 13 May 2022 Last Revised: 14 Sep 2024
Svetlana Bryzgalova, Sven Lerner, Martin Lettau and Markus Pelger
London Business School - Department of Finance, Stanford University - Institute for Computational and Mathematical Engineering, University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 5,212 (3,699)
Citation 16

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Missing data, firm characteristics, PCA, factor model, big data, asset pricing

4.

(Almost) 200 Years of News-Based Economic Sentiment

Downloads 3,720 ( 6,514)
Citation 4

(Almost) 200 Years of News-Based Economic Sentiment

Number of pages: 57 Posted: 29 Oct 2022 Last Revised: 19 Dec 2023
Jules H. van Binsbergen, Svetlana Bryzgalova, Mayukh Mukhopadhyay and Varun Sharma
University of Pennsylvania - The Wharton School, London Business School - Department of Finance, London Business School - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 3,688 (6,491)
Citation 2

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Business cycle, macroeconomic news, economic sentiment, monetary policy, textual analysis, machine learning, big data, neural networks

(Almost) 200 Years of News-Based Economic Sentiment

NBER Working Paper No. w32026
Number of pages: 58 Posted: 08 Jan 2024
Jules H. van Binsbergen, Svetlana Bryzgalova, Mayukh Mukhopadhyay and Varun Sharma
University of Pennsylvania - The Wharton School, London Business School - Department of Finance, London Business School - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 32 (1,028,533)
Citation 2
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5.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 27 Mar 2024
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 3,668 (6,660)
Citation 9

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Cross-Sectional Asset Pricing, Factor Models, Model Evaluation, Multiple Testing, Data Mining, P-Hacking, Bayesian Methods, shrinkage, SDF.

6.

Asset-Pricing Factors with Economic Targets

Number of pages: 67 Posted: 01 Feb 2023 Last Revised: 01 Oct 2024
Svetlana Bryzgalova, Victor DeMiguel, Sicong Li and Markus Pelger
London Business School - Department of Finance, London Business School, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Stanford University - Department of Management Science & Engineering
Downloads 1,548 (26,107)
Citation 1

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Cross-section of asset returns, portfolio sorts, principal component analysis, shape restrictions, factor identification, latent factors, moment restrictions

7.

Consumption in Asset Returns

Number of pages: 142 Posted: 12 Mar 2021 Last Revised: 14 Mar 2025
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 878 (59,062)
Citation 3

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Consumption Dynamics, Asset Returns, Consumption-Based Asset Pricing, Term Structure

8.

Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models

Swiss Finance Institute Research Paper No. 23-81, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2024
Number of pages: 85 Posted: 18 Sep 2023 Last Revised: 07 Jan 2025
Svetlana Bryzgalova, Alberto Quaini, Fabio Trojani and Ming Yuan
London Business School - Department of Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Geneva and Columbia University
Downloads 717 (77,233)
Citation 2

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Testing of asset pricing models, factor risk premia, useless and weak factors, factor selection, model misspecification, Oracle estimation and inference

9.

Strategic Arbitrage in Segmented Markets

Number of pages: 74 Posted: 11 Dec 2022 Last Revised: 17 Oct 2024
Svetlana Bryzgalova, Anna Pavlova and Taisiya Sikorskaya
London Business School - Department of Finance, London Business School and University of Chicago - Finance
Downloads 702 (79,366)
Citation 1

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JEL Classification: G4, G5, G11, G12 Keywords: Arbitrage, repeated game, entry cost, dividend play, retail investors

10.

Macro Strikes Back: Term Structure of Risk Premia and Market Segmentation

Number of pages: 105 Posted: 11 Apr 2024
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 554 (107,207)

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Macro-finance, asset pricing, risk premia, linear factor models, Bayesian inference, term structures, market segmentation. JEL Classification Codes: C11, C58, E27, E44, G12, G17

11.

Bayesian Fama-MacBeth Regressions

Number of pages: 16 Posted: 06 Dec 2024 Last Revised: 07 Dec 2024
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 293 (223,031)

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Cross-sectional asset pricing, factor models, weak factors, risk premia, Bayesian methods,

12.

Internet Appendix for Missing Financial Data

Number of pages: 41 Posted: 16 Mar 2023 Last Revised: 26 Jun 2024
Svetlana Bryzgalova, Sven Lerner, Martin Lettau and Markus Pelger
London Business School - Department of Finance, Stanford University - Institute for Computational and Mathematical Engineering, University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads 222 (293,421)

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Missing data, firm characteristics, cross-sectional asset pricing, PCA, factor model, big data, asset pricing JEL classification: C14, C38, C55, G12

13.

Internet Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 27 Posted: 04 Aug 2020 Last Revised: 22 Jun 2022
Svetlana Bryzgalova, Jiantao Huang and Christian Julliard
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 221 (294,684)
Citation 1

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Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF

Other Papers (1)

Total Downloads: 610
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1.

Internet Appendix for Forest through the Trees: Building Cross-Sections of Stock Returns

Number of pages: 163 Posted: 13 May 2020 Last Revised: 05 Aug 2023
Svetlana Bryzgalova, Markus Pelger and Jason Zhu
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 610

Abstract:

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Asset Pricing, Sorting, Portfolios, Cross-Section of Expected Returns, Decision Trees, Elastic Net, Stock Characteristics, Machine Learning