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

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 11,503

in Total Papers Citations

128

CROSSREF CITATIONS

10

Scholarly Papers (11)

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 5,480 (2,946)
Citation 39

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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 London Business School
Downloads 5,177 (3,267)
Citation 44

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

3.

Missing Financial Data

Number of pages: 129 Posted: 13 May 2022 Last Revised: 22 Jan 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 4,131 (4,793)
Citation 10

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

4.

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 3,072 (7,741)
Citation 9

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

5.
Downloads 3,046 ( 7,842)
Citation 2

(Almost) 200 Years of News-Based Economic Sentiment

Number of pages: 57 Posted: 29 Oct 2022 Last Revised: 19 Dec 2023
University of Pennsylvania - The Wharton School, London Business School - Department of Finance, London Business School - Department of Finance and Kelley School of Business, Indiana University
Downloads 3,023 (7,792)
Citation 1

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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
University of Pennsylvania - The Wharton School, London Business School - Department of Finance, London Business School - Department of Finance and Kelley School of Business, Indiana University
Downloads 23 (954,915)
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6.

Asset-Pricing Factors with Economic Targets

Number of pages: 68 Posted: 01 Feb 2023 Last Revised: 13 Nov 2023
Svetlana Bryzgalova, Victor DeMiguel, Sicong Li and Markus Pelger
London Business School - Department of Finance, London Business School, London Business School and Stanford University - Department of Management Science & Engineering
Downloads 1,094 (37,940)

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

7.

Consumption in Asset Returns

Number of pages: 91 Posted: 12 Mar 2021 Last Revised: 31 Oct 2023
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 572 (90,203)
Citation 2

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

8.

Strategic Arbitrage in Segmented Markets

Number of pages: 61 Posted: 11 Dec 2022 Last Revised: 13 Nov 2023
Svetlana Bryzgalova, Anna Pavlova and Taisiya Sikorskaya
London Business School - Department of Finance, London Business School and London Business School
Downloads 472 (114,415)
Citation 1

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Arbitrage, repeated game, entry cost, dividend play, retail investors

9.

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

Number of pages: 117 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 204 (283,734)

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Macro-finance, asset pricing, risk premia, linear factor models, Bayesian inference, term structures, market segmentation

10.

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 186 (300,095)

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

11.

Internet Appendix for Missing Financial Data

Number of pages: 33 Posted: 16 Mar 2023 Last Revised: 22 Jan 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 154 (353,334)

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Missing data, firm characteristics, cross-sectional asset pricing, PCA, factor model, big data, asset pricing

Other Papers (1)

Total Downloads: 538
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 538

Abstract:

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