Shikun Ke

Yale School of Management

165 Whitney Ave

New Haven, CT 06511

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.
Downloads 2,341 (12,007)
Citation 2

Complexity in Factor Pricing Models

Swiss Finance Institute Research Paper No. 23-19
Number of pages: 139 Posted: 14 Mar 2023 Last Revised: 22 Jan 2024
The University of Melbourne, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 2,335 (11,824)

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Stochastic discount factor (SDF), asset pricing test, pricing error, alpha, cross section of returns, portfolio choice

Complexity in Factor Pricing Models

NBER Working Paper No. w31689
Number of pages: 138 Posted: 18 Sep 2023
The University of Melbourne, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 6 (1,137,145)
Citation 2
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2.

The Double-edged Sword of Data Mining: Implications on Asset Pricing and Information Efficiency

Number of pages: 67 Posted: 30 Nov 2023
Shikun Ke
Yale School of Management
Downloads 149 (363,225)

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Data mining, Price informativeness, Cost of complexity, Factor zoo, Alternative Data

3.

The Social Welfare of Stock Market Mispricing

Number of pages: 61 Posted: 01 Dec 2023 Last Revised: 24 Apr 2024
Shikun Ke
Yale School of Management
Downloads 86 (539,762)

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Mispricing, Welfare, Price Impact, CAPM, Instrumented Factor Model