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Factor Models, Machine Learning, and Asset Pricing
Social Science Research Network, 2021We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the stochastic ...
B. Kelly, D. Xiu
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Open Source Cross-Sectional Asset Pricing
Finance and Economics Discussion Series, 2021We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by comparing our t-stats to the original papers' results.
Andrew Y. Chen, Tom Zimmermann
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SSRN Electronic Journal, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kai Li, Jun Liu
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kai Li, Jun Liu
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SSRN Electronic Journal, 2020
Climate change is one of the biggest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly debated in policy circles. This paper studies the optimal design of a carbon tax when environmental factors, such as air carbon dioxide emissions (CO2), directly affect agents' marginal
Benmir, Ghassane +2 more
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Climate change is one of the biggest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly debated in policy circles. This paper studies the optimal design of a carbon tax when environmental factors, such as air carbon dioxide emissions (CO2), directly affect agents' marginal
Benmir, Ghassane +2 more
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Autoencoder Asset Pricing Models
Journal of Econometrics, 2019We propose a new latent factor conditional asset pricing model. Like Kelly, Pruitt, and Su (KPS, 2019), our model allows for latent factors and factor exposures that depend on covariates such as asset characteristics. But, unlike the linearity assumption
Shihao Gu, B. Kelly, D. Xiu
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SSRN Electronic Journal, 2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross-
Adrian, Tobias +2 more
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We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross-
Adrian, Tobias +2 more
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Asset Pricing with Omitted Factors
Journal of Political Economy, 2019Standard estimators of risk premia in linear asset pricing models are biased if some priced factors are omitted. We propose a three-pass method to estimate the risk premium of an observable factor, which is valid even when not all factors in the model ...
Stefano Giglio, D. Xiu
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Price impact and asset pricing
Journal of Financial Markets, 2013Using intradaily order flows processed via the Lee and Ready (1991) algorithm for NYSE/AMEX-listed stocks over the past 27 years, I estimate a set of price-impact parameters. The results provide strong evidence that price impact is priced in the cross-section of stock returns, even after controlling for risk factors, firm characteristics, and other low-
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Estimating Latent Asset-Pricing Factors
Journal of Econometrics, 2018We develop an estimator for latent factors in a large-dimensional panel of financial data that can explain expected excess returns. Statistical factor analysis based on Principal Component Analysis (PCA) has problems identifying factors with a small ...
M. Lettau, Markus Pelger
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