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We 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 discount factor, as well as model comparison...
Persistent link: https://www.econbiz.de/10013322001
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We 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 discount factor as well as model comparison...
Persistent link: https://www.econbiz.de/10014242407
Persistent link: https://www.econbiz.de/10011349476
We forecast a single time series using many predictor variables with a new estimator called the three-pass regression filter (3PRF). It is calculated in closed form and conveniently represented as a set of ordinary least squares regressions. 3PRF forecasts converge to the infeasible best...
Persistent link: https://www.econbiz.de/10012905877
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We introduce a new text-mining methodology that extracts sentiment information from news articles to predict asset returns. Unlike more common sentiment scores used for stock return prediction (e.g., those sold by commercial vendors or built with dictionary-based methods), our supervised...
Persistent link: https://www.econbiz.de/10012480131