Suchergebnisse

Factor Investing: A Bayesian Hierarchical Approach

In: Journal of Econometrics, Forthcoming

Regularizing Bayesian Predictive Regressions

Debt Runs, Renegotiation, and Liquidity Injections

Regularized GMM for Time-Varying Models with Applications to Asset Pricing

In: International Economic Review, Forthcoming

Taming the Factor Zoo: A Test of New Factors

In: NBER Working Paper No. w25481

Taming the Factor Zoo: A Test of New Factors

In: Fama-Miller Working Paper

Predicting Individual Corporate Bond Returns

Predicting Individual Corporate Bond Returns

Can news predict firm bankruptcy?

Deep Learning in Characteristics-Sorted Factor Models

In: Journal of Financial and Quantitative Analysis, Forthcoming

Anomaly or Risk Factor? A Stepwise Evaluation

Deep Tangency Portfolio

Time-Varying Factor Selection: A Sparse Fused GMM Approach

Corporate Bond Pricing via Benchmark Combination Model

Institutional Granular Impact is Benign on Asset Sales and Price Efficiency