Forecasting realized volatility with machine learning: Panel data perspective
Abstract Machine learning approaches have become very popular in many fields in this big
data age. This paper considers the problem of forecasting realized volatility with machine …
data age. This paper considers the problem of forecasting realized volatility with machine …
The risk-return trade-off among equity factors
We examine the time-series risk-return trade-off among equity factors. We obtain a positive
trade-off for profitability and investment factors, which is consistent with the APT. Such …
trade-off for profitability and investment factors, which is consistent with the APT. Such …
Managing the market portfolio
F Hollstein, M Prokopczuk - Management Science, 2023 - pubsonline.informs.org
We analyze the relation between time-series predictability and factor investing. We use a
large set of financial, macroeconomic, and technical variables to time-series-manage the …
large set of financial, macroeconomic, and technical variables to time-series-manage the …
[HTML][HTML] Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences
J Rojo-Suárez, AB Alonso-Conde… - International Review of …, 2024 - Elsevier
Assuming an environment with rational and informed agents, where investors exhibit
recursive preferences and make their economic decisions embedding industry bubbles into …
recursive preferences and make their economic decisions embedding industry bubbles into …
A skeptical appraisal of robust asset pricing tests
TA Kroencke, J Thimme - Proceedings of Paris December 2021 …, 2021 - papers.ssrn.com
We analyze the size and power of a large number of" robust" asset pricing tests of the
hypothesis that the price of risk of a candidate factor is equal to zero. Different from earlier …
hypothesis that the price of risk of a candidate factor is equal to zero. Different from earlier …
Cybercrime and the cross-section of equity returns
We use public news coverage about cybercrime to form a cybercrime news attention
measure. This measure is consistent with the criteria for a state variable in ICAPM that is …
measure. This measure is consistent with the criteria for a state variable in ICAPM that is …
Bank credit, consumption risk, and the cross-section of expected returns
JH Kwon - International Review of Financial Analysis, 2024 - Elsevier
Although the consumption capital asset pricing model has an unmatched theoretical purity
for assets' risk, the empirical failure of the model stands as a central finding in asset pricing …
for assets' risk, the empirical failure of the model stands as a central finding in asset pricing …
An intertemporal risk factor model
F Chabi-Yo, AS Gonçalves… - Management Science, 2024 - pubsonline.informs.org
Prominent factor models are based on tradable factors that do not represent theoretically
relevant risks. To address this issue, we develop a factor model that captures the risks to …
relevant risks. To address this issue, we develop a factor model that captures the risks to …
Forecasting the long-term equity premium for asset allocation
A Sakkas, N Tessaromatis - Financial Analysts Journal, 2022 - Taylor & Francis
Long-term country equity premium forecasts based on a cross-sectional global factor model
(CS-GFM), where factors represent compensation for risks proxied by valuation and financial …
(CS-GFM), where factors represent compensation for risks proxied by valuation and financial …
Tax avoidance and firm risk: New insights from a latent class mixture model
We examine the relations between tax avoidance and two components of firm risk (priced
risk and idiosyncratic risk) using latent class mixture models. OLS regressions suggest that …
risk and idiosyncratic risk) using latent class mixture models. OLS regressions suggest that …