1.
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
There are 2 versions of this paper
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Downloads
24,272
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Last Revised: 26 May 2023
Downloads
658
Downloads
24,272
2.
Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers
Miller, J. B., & Sanjurjo, A. (2018). Surprised by the hot hand fallacy? A truth in the law of small numbers. Econometrica, Vol. 86, No.6, pp. 2019–2047
Number of pages: 42
Posted: 07 Jul 2015
Last Revised: 17 Dec 2018
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads
22,199
3.
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Number of pages: 46
Posted: 11 Feb 1998
Working Paper Series
New York University - Stern School of Business, University of Miami - Miami Herbert Business School and Yale School of Management - International Center for Finance
There are 2 versions of this paper
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Number of pages: 46
Posted: 11 Feb 1998
Downloads
15,271
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
NYU Working Paper No. FIN-98-013
Number of pages: 45
Posted: 07 Nov 2008
Downloads
1,135
Downloads
15,271
4.
Core Earnings: New Data and Evidence
Harvard Business School Accounting & Management Unit Working Paper No. 20-047, October 2019, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71
Posted: 11 Oct 2019
Last Revised: 24 Nov 2020
Accepted Paper Series
Harvard Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard University - Business School (HBS)
Downloads
11,483
5.
Deep Learning in Asset Pricing
Number of pages: 75
Posted: 04 Apr 2019
Last Revised: 05 Aug 2021
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
10,658
6.
Machine Learning for Stock Selection
Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35
Posted: 04 Mar 2019
Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads
8,839
7.
Evolution in Value Relevance of Accounting Information
Forthcoming, The Accounting Review doi.org/10.2308/TAR-2019-0521
Number of pages: 55
Posted: 14 Mar 2017
Last Revised: 22 Apr 2022
Working Paper Series
Stanford University - Graduate School of Business, McMaster University - Michael G. DeGroote School of Business and University of Chicago Booth School of Business
Downloads
8,372
8.
Mutual Fund Performance
Number of pages: 86
Posted: 19 Jan 2007
Working Paper Series
City University London - The Business School, affiliation not provided to SSRN and University College Cork
Downloads
7,593
9.
Deep Learning Statistical Arbitrage
Number of pages: 75
Posted: 08 Jun 2021
Last Revised: 11 Jan 2024
Working Paper Series
BlackRock, Inc, Stanford University - Department of Management Science & Engineering and Stanford University, School of Engineering, Management Science & Engineering
Downloads
6,442
10.
Event Studies: A Methodology Review
Number of pages: 36
Posted: 02 Aug 2009
Last Revised: 20 Aug 2010
Working Paper Series
Deakin University - School of Accounting, Economics & Finance
Downloads
5,463
11.
Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning
Number of pages: 20
Posted: 16 Mar 2018
Last Revised: 29 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics and University of Oxford
Downloads
5,432
12.
Difference-in-Differences with Multiple Time Periods
Number of pages: 45
Posted: 24 Mar 2018
Last Revised: 07 Dec 2020
Working Paper Series
University of Mississippi - Department of Economics and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads
5,427
13.
Expected Returns and Large Language Models
Number of pages: 62
Posted: 21 Apr 2023
Last Revised: 28 Aug 2024
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads
5,297
14.
Missing Financial Data
Number of pages: 132
Posted: 13 May 2022
Last Revised: 14 Sep 2024
Working Paper Series
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
5,026
15.
Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
Rapport Interne CMAP Working Paper No. 490
Number of pages: 39
Posted: 22 Nov 2002
Working Paper Series
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads
4,551
16.
The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee
Number of pages: 74
Posted: 30 Jul 2004
Working Paper Series
Bank of Italy - Banking and Finance Supervision Department
Downloads
4,428
17.
The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk
Number of pages: 12
Posted: 07 Jan 1998
Working Paper Series
Department of Finance, Leonard N. Stern School of Business, New York University, Reichman University - Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads
4,058
18.
The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Number of pages: 45
Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads
3,967
19.
How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice
Political Analysis, forthcoming
Number of pages: 150
Posted: 29 Feb 2016
Last Revised: 29 Apr 2018
Accepted Paper Series
Stanford University - Department of Political Science, Princeton University and Stanford University
Downloads
3,873
20.
The Omega Measure: Hedge Fund Portfolio Optimization
Number of pages: 45
Posted: 05 Feb 2003
Working Paper Series
University of Lausanne and Universite de Lausanne
Downloads
3,801
21.
A New Look at Minimum Variance Investing
Number of pages: 23
Posted: 24 Sep 2010
Working Paper Series
EDHEC Business School - Department of Economics & Finance
Downloads
3,448
22.
Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review
Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Number of pages: 17
Posted: 21 Oct 1999
Last Revised: 20 Nov 2008
Accepted Paper Series
University of Konstanz - Department of Economics
Downloads
3,347
23.
Are Banks Too Big To Fail? Measuring Systemic Importance of Financial Institutions
Number of pages: 40
Posted: 04 Feb 2010
Working Paper Series
De Nederlandsche Bank
Downloads
3,246
24.
Conditional Value-at-Risk: Aspects of Modeling and Estimation
Number of pages: 28
Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads
3,239
25.
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Working Paper Series
Edgelab and Olsen & Associates
There are 2 versions of this paper
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Downloads
3,226
Downloads
3,226
26.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
3,144
27.
A Study on the Association between Brand Awareness and Consumer/Brand Loyalty for the Packaged Milk Industry in Pakistan
South Asian Journal of Management Sciences (SAJMS), Vol.5, No.1.
Number of pages: 11
Posted: 22 Oct 2010
Last Revised: 17 Feb 2011
Accepted Paper Series
Office of Research, Innovation & Commercialization - ORIC and Iqra University Research Centre - IURC
Downloads
3,033
28.
Development and Validation of Credit Scoring Models
Journal of Credit Risk, Forthcoming
Number of pages: 70
Posted: 30 Jul 2008
Accepted Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads
3,033
29.
What is Portfolio Diversification?
Number of pages: 9
Posted: 27 Sep 2013
Last Revised: 14 Feb 2014
Working Paper Series
Brighthouse Financial
Downloads
2,991
30.
Large Deviations and the Distribution of Price Changes
Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Number of pages: 30
Posted: 22 Apr 1998
Working Paper Series
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads
2,988
31.
Mid-Price Prediction in a Limit Order Book
Number of pages: 9
Posted: 02 Jan 2015
Working Paper Series
Purdue University - School of Electrical and Computer Engineering and Purdue University
Downloads
2,920
32.
Good Volatility, Bad Volatility and the Cross-Section of Stock Returns
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77
Posted: 17 Feb 2015
Last Revised: 12 Dec 2018
Accepted Paper Series
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Man Numeric
Downloads
2,870
33.
Analysis of Financial Time-Series Using Fourier and Wavelet Methods
Number of pages: 36
Posted: 27 Oct 2008
Working Paper Series
University of Fribourg - Faculty of Economics and Social Science
Downloads
2,856
34.
Stripping the Discount Curve — a Robust Machine Learning Approach
Swiss Finance Institute Research Paper No. 22-24, Forthcoming, Management Science
Number of pages: 101
Posted: 15 Mar 2022
Last Revised: 08 Nov 2024
Working Paper Series
École Polytechnique Fédérale de Lausanne (EPFL), Stanford University - Department of Management Science & Engineering and Stanford University
Downloads
2,783
35.
Insights from Inside Neural Networks
Number of pages: 64
Posted: 19 Aug 2018
Last Revised: 24 Apr 2020
Working Paper Series
University of Zurich, PartnerRe Ltd - PartnerRe Holdings Europe Limited and RiskLab, ETH Zurich
Downloads
2,751
36.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads
2,691
37.
Factors That Fit the Time Series and Cross-Section of Stock Returns
Number of pages: 61
Posted: 01 Aug 2018
Last Revised: 30 Jan 2020
Working Paper Series
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
There are 2 versions of this paper
Factors that Fit the Time Series and Cross-Section of Stock Returns
NBER Working Paper No. w24858
Number of pages: 60
Posted: 01 Aug 2018
Last Revised: 04 Jun 2023
Downloads
153
Factors that Fit the Time Series and Cross-Section of Stock Returns
CEPR Discussion Paper No. DP13049
Number of pages: 62
Posted: 16 Jul 2018
Last Revised: 30 Jul 2018
Downloads
4
Downloads
2,676
38.
Estimating Probabilities of Default for Low Default Portfolios
Number of pages: 24
Posted: 27 Dec 2004
Working Paper Series
Swiss Financial Market Supervisory Authority (FINMA) and Deutsche Bundesbank
Downloads
2,617
39.
Structural Deep Learning in Conditional Asset Pricing
Number of pages: 112
Posted: 02 Jun 2022
Last Revised: 14 Sep 2024
Working Paper Series
Princeton University - Bendheim Center for Finance, Harvard University, Rutgers University, New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads
2,561
40.
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
Number of pages: 37
Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads
2,514
41.
Automated Volatility Forecasting
Number of pages: 86
Posted: 31 Jan 2021
Last Revised: 03 Apr 2024
Working Paper Series
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Shanghai University of Finance and Economics (SUFE) - Dishui Lake Advanced Finance Institute (DAFI)
Downloads
2,469
42.
Dissecting Characteristics Nonparametrically
Number of pages: 105
Posted: 11 Aug 2016
Last Revised: 05 Aug 2018
Working Paper Series
University of Wisconsin-MadisonUniversity of Bonn, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
There are 6 versions of this paper
Dissecting Characteristics Nonparametrically
Number of pages: 105
Posted: 11 Aug 2016
Last Revised: 05 Aug 2018
Downloads
2,460
Dissecting Characteristics Nonparametrically
Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-32
Number of pages: 105
Posted: 20 Nov 2017
Last Revised: 27 Jul 2018
Downloads
274
Dissecting Characteristics Nonparametrically
CESifo Working Paper Series No. 7187
Number of pages: 107
Posted: 16 Oct 2018
Downloads
202
Dissecting Characteristics Nonparametrically
CESifo Working Paper Series No. 6391
Number of pages: 68
Posted: 12 Apr 2017
Downloads
188
Dissecting Characteristics Nonparametrically
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-50
Number of pages: 106
Posted: 01 Aug 2018
Downloads
145
Dissecting Characteristics Nonparametrically
NBER Working Paper No. w23227
Number of pages: 68
Posted: 19 Mar 2017
Last Revised: 19 Jun 2023
Downloads
88
Downloads
2,460
43.
Credit Risk Versus Capital Requirements Under Basel Ii: Are SME Loans and Retail Credit Really Different?
Journal of Financial Services Research, Forthcoming
Number of pages: 29
Posted: 18 Feb 2004
Last Revised: 18 Feb 2025
Accepted Paper Series
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads
2,453
44.
Robust Standard Error Estimation in Fixed-Effects Panel Models
Number of pages: 30
Posted: 30 Sep 2004
Working Paper Series
Central European University (CEU) - Department of Economics
Downloads
2,449
45.
Neural Networks Applied to Chain-Ladder Reserving
Number of pages: 26
Posted: 10 May 2017
Last Revised: 19 Jul 2018
Working Paper Series
RiskLab, ETH Zurich
Downloads
2,421
46.
Multivariate and Propensity Score Matching Software with Automated Balance Optimization: The Matching Package for R
Journal of Statistical Software, Forthcoming
Number of pages: 47
Posted: 29 May 2008
Accepted Paper Series
UC Berkeley
Downloads
2,404
47.
The Real Effects of Financial Markets: The Impact of Prices on Takeovers
Journal of Finance 67(3), 933-971, June 2012
Number of pages: 58
Posted: 19 Mar 2008
Last Revised: 04 Jun 2014
Accepted Paper Series
London Business School - Institute of Finance and Accounting, University of Pennsylvania - The Wharton School - Finance Department and Emory University Goizueta Business School
Downloads
2,344
48.
Pockets of Predictability
Journal of Finance, Forthcoming
Number of pages: 113
Posted: 29 Mar 2018
Last Revised: 14 Feb 2022
Accepted Paper Series
University of Virginia, MIT Sloan School of Management and UCSD
There are 2 versions of this paper
Pockets of Predictability
Journal of Finance, Forthcoming
Number of pages: 113
Posted: 29 Mar 2018
Last Revised: 14 Feb 2022
Downloads
2,287
Downloads
2
Downloads
2,287
49.
Accounting for Biases in Black-Scholes
Number of pages: 46
Posted: 03 Sep 2004
Working Paper Series
NYU Stern School of Business (deceased), Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads
2,257
50.
Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default Estimation
Number of pages: 70
Posted: 17 May 2005
Working Paper Series
Banco BPI
Downloads
2,216
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