With the advent in recent years of large financial data sets, machine learning and high-performance computing, analysts can backtest millions (if not billions) of alternative investment strategies. Backtest optimizers search for combinations of parameters that maximize the simulated historical...

Correlation matrices are ubiquitous in finance. Some key applications include portfolio construction, risk management, and factor/style analysis. Correlation matrices are usually estimated from historical empirical observations or derived from historically estimated factors. It is widely...

We prove that high simulated performance is easily achievable after backtesting a relatively small number of alternative strategy configurations, a practice we denote “backtest overfitting”. The higher the number of configurations tried, the greater is the probability that the backtest is...

Present paper shows that credit regarding job creation is ineffective in the 2000s, while it was effective in 1980s and 1990s. This paper attempts to support the view of (Bouis et al., 2013), that recently growth is sluggish, in spite of the massive monetary stimulus. Further, it will support...

In this paper is shown that financial deepening is good for job creation up to a critical point, beyond which unemployment starts rising. The reason can be the heavy debt the private sector is bearing, so that business sector becomes unable to pay off debts, and thus companies go bankrupt...

In this paper, we empirically test the impact of industry concentration on corporate investment. Using both traditional proxies and recently developed text-based measures of industry concentration, we show that firms operating in competitive industries invest significantly more in both physical...

This paper documents that option-implied tail risk in the U.S. financial sector predicts real economic activity. The predictability is found to be incremental to the information content in a stock price-based measure of financial sector tail risk. This finding holds both in- and out-of-sample...

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market...

In this paper I examine whether one can use analyst forecasts of macroeconomic variables to improve investors ex-ante allocation of wealth between stocks and bonds. Such forecasts provide a forward-looking approach which I find improves investor's information set for the myopic stock-bond...

Harvey, Liu, and Zhu (2016) “argue that most claimed research findings in financial economics are likely false.” Surprisingly, their false discovery rate (FDR) estimates suggest most are true. I revisit their results by developing non- and semi-parametric FDR estimators that account for...