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1
Intermediary asset pricing : new evidence from many asset classes
He, Zhiguo
;
Kelly, Bryan T.
;
Manela, Asaf
-
2016
Persistent link: https://www.econbiz.de/10011434778
Saved in:
2
The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard
;
Kelly, Bryan T.
;
Lustig, Hanno
; …
- In:
Journal of financial economics
119
(
2016
)
2
,
pp. 249-283
Persistent link: https://www.econbiz.de/10011589843
Saved in:
3
Intermediary Asset Pricing : New Evidence from Many Asset Classes
He, Zhiguo
-
2016
classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital
risk
factor … is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of
risk
for intermediary capital …
Persistent link: https://www.econbiz.de/10013000523
Saved in:
4
Factor models, machine learning, and asset pricing
Giglio, Stefano
;
Kelly, Bryan T.
;
Xiu, Dacheng
- In:
Annual review of financial economics
14
(
2022
),
pp. 337-368
Persistent link: https://www.econbiz.de/10013461140
Saved in:
5
Empirical asset pricing via machine learning
Gu, Shihao
;
Kelly, Bryan T.
;
Xiu, Dacheng
-
2018
Persistent link: https://www.econbiz.de/10011981663
Saved in:
6
Intermediary asset pricing : new evidence from many asset classes
He, Zhiguo
;
Kelly, Bryan T.
;
Manela, Asaf
- In:
Journal of financial economics
126
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011751867
Saved in:
7
Empirical asset pricing via machine learning
Gu, Shihao
;
Kelly, Bryan T.
;
Xiu, Dacheng
-
2018
-
This Version: July 21, 2018
Persistent link: https://www.econbiz.de/10011938630
Saved in:
8
Market expectations in the cross-section of present values
Kelly, Bryan T.
;
Pruitt, Seth
- In:
The journal of finance : the journal of the American …
68
(
2013
)
5
,
pp. 1721-1756
Persistent link: https://www.econbiz.de/10010204047
Saved in:
9
The Common Factor in Idiosyncratic Volatility : Quantitative Asset Pricing Implications
Herskovic, Bernard
-
2015
linking the CIV factor to income
risk
faced by households. These three facts are consistent with an incomplete markets …
Persistent link: https://www.econbiz.de/10013036287
Saved in:
10
The Common Factor in Idiosyncratic Volatility : Quantitative Asset Pricing Implications
Herskovic, Bernard
-
2014
linking the CIV factor to income
risk
faced by households. These three facts are consistent with an incomplete markets …
Persistent link: https://www.econbiz.de/10012458588
Saved in:
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