This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make
rolling one‐minute‐ahead return forecasts using the entire cross‐section of lagged returns …

We analyze a model of anomaly discovery. Consistent with existing evidence, we show that
the discovery of an anomaly reduces its magnitude and increases its correlation with …

Our model of anomaly discovery has implications for both asset prices and arbitrageurs'
trading. Consistent with existing evidence, the discovery of an anomaly reduces its …

This paper develops a model showing why traders might use coincidences to identify
promising investment opportunities that are worth investigating further. The model predicts …

We analyze a model of anomaly discovery. Consistent with existing evidence, we show that
the discovery of an anomaly reduces its magnitude and increases its correlation with …