Samuel Brodsky Thompson

Arrowstreet Capital, L.P.

Manager, Research

44 Brattle St., 5th Floor

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 8,606

SSRN RANKINGS

Top 8,606

in Total Papers Downloads

5,340

SSRN CITATIONS
Rank 3,194

SSRN RANKINGS

Top 3,194

in Total Papers Citations

212

CROSSREF CITATIONS

116

Scholarly Papers (7)

1.

Simple Formulas for Standard Errors that Cluster by Both Firm and Time

Number of pages: 25 Posted: 13 Jul 2006 Last Revised: 18 May 2009
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Downloads 2,692 (4,427)
Citation 163

Abstract:

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cluster standard errors, panel data, finance panel data

Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

Harvard Institute of Economic Research Discussion Paper No. 2084
Number of pages: 30 Posted: 28 Jul 2005
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 795 (29,829)
Citation 60

Abstract:

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Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

NBER Working Paper No. w11468
Number of pages: 29 Posted: 09 Aug 2005 Last Revised: 23 Jul 2009
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 113 (246,885)

Abstract:

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3.
Downloads 789 ( 30,649)
Citation 4

New Forecasts of the Equity Premium

AFA 2005 Philadelphia Meetings
Number of pages: 56 Posted: 10 Jan 2005
Christopher Polk, Samuel Brodsky Thompson and Tuomo Vuolteenaho
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 738 (33,045)

Abstract:

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risk premium, beta, bias, size, conditional test

New Forecasts of the Equity Premium

NBER Working Paper No. w10406
Number of pages: 57 Posted: 19 Apr 2004
Christopher Polk, Samuel Brodsky Thompson and Tuomo Vuolteenaho
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 51 (395,040)

Abstract:

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4.
Downloads 463 ( 61,615)
Citation 14

Volatility Comovement: A Multifrequency Approach

Sauder School of Business Working Paper
Number of pages: 41 Posted: 31 Aug 2004
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 375 (78,478)

Abstract:

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Multivariate MSM, comovement, maximum likelihood, particle filter, Markov-switching, stochastic volatility, multifrequency volatility decomposition, value at risk, quantile forecasts

Volatility Comovement: A Multifrequency Approach

NBER Working Paper No. t0300
Number of pages: 42 Posted: 15 Aug 2007 Last Revised: 08 Mar 2013
Laurent E. Calvet, Adlai J. Fisher and Samuel Brodsky Thompson
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Arrowstreet Capital, L.P.
Downloads 88 (292,877)

Abstract:

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Identifying Term Structure Volatility from the Libor-Swap Curve

Number of pages: 47 Posted: 04 Jan 2005
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Downloads 412 (70,309)
Citation 17

Abstract:

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term structure models, affine models

Identifying Term Structure Volatility from the Libor-Swap Curve

Review of Financial Studies, Vol. 21, Issue 2, pp. 819-854, 2008
Posted: 26 Jun 2008
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.

Abstract:

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C52, G13

6.

Optimal Versus Robust Inference in Nearly Integrated Non Gaussian Models

Harvard Institute of Economic Research Discussion Paper No. 2003
Number of pages: 32 Posted: 25 Apr 2003
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Downloads 76 (317,334)
Citation 1

Abstract:

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Near Unit Root, Robust Tests, Optimal Tests

7.

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1509-1531, 2008
Posted: 08 Aug 2008
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.

Abstract:

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G10, G11