We develop a method to measure the securities purchasing and selling activity of banks using publicly available data from regulatory filings. Using this data, we document stylized empirical facts and explain securities portfolio management through the lens of contemporaneous balance sheet...

We propose new approaches to constructing mimicking portfolios for non-tradable shocks from a large set of base assets. The key element of our procedure is the imposition of regularization constraints on portfolio strategies that help mitigate the overfitting problem caused by a large number of...

We consider five characteristics-based asset pricing models and study whether the non-market components of their stochastic discount factors (SDFs) are associated with macroeconomic shocks. Our analysis involves a comprehensive set of 127 macroeconomic variables and uses machine learning...

This paper studies the interplay between information aggregation and p-hacking in the context of predicting stock returns. The standard information aggregation techniques exacerbate p-hacking by increasing the probability of the type I error. We propose an aggregation technique, which is a...