Samuel Brodsky Thompson

Arrowstreet Capital, L.P.

Manager, Research

44 Brattle St., 5th Floor

Cambridge, MA 02138

United States

  • Arrowstreet Capital, L.P.

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    • Tel: 617 349 2254
SCHOLARLY PAPERS

7

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5,748

SSRN CITATIONS
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Top 3,451

in Total Papers Citations

266

CROSSREF CITATIONS

123

Scholarly Papers (7)

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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 2,951 (5,979)
Citation 220

Abstract:

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cluster standard errors, panel data, finance panel data

2.

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

Downloads 953 ( 34,004)
Citation 68

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 817 (41,557)
Citation 59

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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: 04 May 2022
John Y. Campbell and Samuel Brodsky Thompson
Harvard University - Department of Economics and Arrowstreet Capital, L.P.
Downloads 136 (289,788)
Citation 3

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3.

New Forecasts of the Equity Premium

Downloads 831 ( 41,145)
Citation 4

New Forecasts of the Equity Premium

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 767 (45,149)

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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 Last Revised: 09 Jun 2022
Christopher Polk, Samuel Brodsky Thompson and Tuomo Vuolteenaho
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 64 (469,827)

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4.

Volatility Comovement: A Multifrequency Approach

Downloads 510 ( 77,314)
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 387 (106,110)

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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: 29 Apr 2022
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 123 (312,617)

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5.

Identifying Term Structure Volatility from the Libor-Swap Curve

Downloads 422 ( 96,780)
Citation 18

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 422 (95,956)
Citation 18

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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

Number of pages: 32 Posted: 25 Apr 2003
Samuel Brodsky Thompson
Arrowstreet Capital, L.P.
Downloads 81 (408,203)
Citation 1

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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