Open Source Cross-Sectional Asset Pricing

Citations

Cited by:

1. Li, Sicong & DeMiguel, Victor & Martín-Utrera, Alberto, 2024. "Comparing factor models with price-impact costs," Journal of Financial Economics, Elsevier, vol. 162(C).
2. Qiao, Fang, 2024. "Do analysts disseminate anomaly information in China?," Journal of Banking & Finance, Elsevier, vol. 165(C).
3. Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
4. Pallavi Basu & Luella Fu & Alessio Saretto & Wenguang Sun, 2021. "Empirical Bayes Control of the False Discovery Exceedance," Working Papers 2115, Federal Reserve Bank of Dallas.
5. M. Hashem Pesaran & Ron P. Smith, 2023. "The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors," CESifo Working Paper Series 10282, CESifo.
   • Pesaran, M. H. & Smith, R. P., 2023. "The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong, and Latent Factors," Cambridge Working Papers in Economics 2317, Faculty of Economics, University of Cambridge.
6. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
7. Cheung, Ying Lun, 2024. "Avoiding jumps in the rotation matrix of time-varying factor models," Finance Research Letters, Elsevier, vol. 67(PB).
8. Andrew Y. Chen, 2022. "Most claimed statistical findings in cross-sectional return predictability are likely true," Papers 2206.15365, arXiv.org, revised Jan 2025.
9. Vitor Azevedo & Christopher Hoegner, 2023. "Enhancing stock market anomalies with machine learning," Review of Quantitative Finance and Accounting, Springer, vol. 60(1), pages 195-230, January.
10. Božović, Miloš, 2024. "VIX-managed portfolios," International Review of Financial Analysis, Elsevier, vol. 95(PA).
11. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
    • Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
12. Beckmeyer, Heiner & Wiedemann, Timo, 2022. "Recovering Missing Firm Characteristics with Attention-Based Machine Learning," VfS Annual Conference 2022 (Basel): Big Data in Economics 264135, Verein für Socialpolitik / German Economic Association.
13. Antoine Falck & Adam Rej & David Thesmar, 2021. "Why and how systematic strategies decay," Papers 2105.01380, arXiv.org.
14. Andrew Y. Chen & Jack McCoy, 2022. "Missing Values Handling for Machine Learning Portfolios," Papers 2207.13071, arXiv.org, revised Jan 2024.
15. Han, Yufeng & Lu, Yueliang (Jacques) & Xu, Weike & Zhou, Guofu, 2024. "Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA," Journal of Empirical Finance, Elsevier, vol. 78(C).
16. Andrew Y. Chen, 2021. "The Limits of p‐Hacking: Some Thought Experiments," Journal of Finance, American Finance Association, vol. 76(5), pages 2447-2480, October.
17. Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
18. Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
19. Evaluator 1, 2024. "Evaluation 1 of "Biodiversity Risk"," The Unjournal Evaluations 2024-151, The Unjournal.
20. Vitor Azevedo & Georg Sebastian Kaiser & Sebastian Mueller, 2023. "Stock market anomalies and machine learning across the globe," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 419-441, September.
21. Bui, Dien Giau & Kong, De-Rong & Lin, Chih-Yung & Lin, Tse-Chun, 2023. "Momentum in machine learning: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
22. Chen, Andrew Y. & McCoy, Jack, 2024. "Missing values handling for machine learning portfolios," Journal of Financial Economics, Elsevier, vol. 155(C).
23. Jianqing Fan & Weining Wang & Yue Zhao, 2024. "Conditional nonparametric variable screening by neural factor regression," Papers 2408.10825, arXiv.org.
    • Jianqing Fan & Weining Wang & Yue Zhao, 2024. "Conditional nonparametric variable screening by neural factor regression," CeMMAP working papers 17/24, Institute for Fiscal Studies.
24. Kumar, Rajnish & Lawrence, Edward R. & Prakash, Arun & Rodríguez, Iván M., 2023. "Additions to and deletions from the S&P 500 index: A resolution to the asymmetric price response puzzle," Journal of Banking & Finance, Elsevier, vol. 154(C).
25. Liu, Yangyi & Luo, Ronghua & Zhao, Senyang, 2023. "Improving factor momentum: Statistical significance matters," Economics Letters, Elsevier, vol. 233(C).
26. Andrew Y. Chen & Tom Zimmermann, 2022. "Publication Bias in Asset Pricing Research," Papers 2209.13623, arXiv.org, revised Sep 2023.
27. Nusret Cakici & Christian Fieberg & Daniel Metko & Adam Zaremba, 2024. "Do Anomalies Really Predict Market Returns? New Data and New Evidence," Review of Finance, European Finance Association, vol. 28(1), pages 1-44.
28. Yin Chen & Roni Israelov, 2024. "Income illusions: challenging the high yield stock narrative," Journal of Asset Management, Palgrave Macmillan, vol. 25(2), pages 190-202, March.
29. Soebhag, Amar & Van Vliet, Bart & Verwijmeren, Patrick, 2024. "Non-standard errors in asset pricing: Mind your sorts," Journal of Empirical Finance, Elsevier, vol. 78(C).
30. Simon, Frederik & Weibels, Sebastian & Zimmermann, Tom, 2025. "Deep parametric portfolio policies," CFR Working Papers 23-01, University of Cologne, Centre for Financial Research (CFR), revised 2025.
31. Zoran Stoiljkovic, 2023. "Applying Reinforcement Learning to Option Pricing and Hedging," Papers 2310.04336, arXiv.org.
32. Assoe, Kodjovi & Attig, Najah & Sy, Oumar, 2024. "The battle of factors," Global Finance Journal, Elsevier, vol. 62(C).
33. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
34. Shi, Huai-Long & Chen, Huayi, 2023. "Revisiting asset co-movement: Does network topology really matter?," Research in International Business and Finance, Elsevier, vol. 66(C).
35. Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
    • Penaranda, Francisco & Sentana, Enrique, 2024. "Portfolio management with big data," CEPR Discussion Papers 19314, C.E.P.R. Discussion Papers.
36. Azevedo, Vitor, 2023. "Analysts’ underreaction and momentum strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
37. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.