We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Stock market participation differs a lot across countries. Cultural dimensions could be a potential factor for that. We show that indeed uncertainty avoidance is linked to rates of stock market participation across countries. We can show even more that uncertainty avoidance has an indirect...