Do more active hedge fund managing strategies generate higher returns than the less active ones? We develop a novel approach to measuring activeness for hedge funds by estimating the dynamics of risk exposure of a large sample of live and dead equity long-short funds. We find that higher...

This paper examines competing explanations, based on risk and investor sentiment, for the cross-sectional returns in the Tunisian stock market. First, we examine the explanatory power of Fama and French (1993); and Carhart (1997) risk factors in the cross-section of stock returns. We find...

We study dynamic portfolio choice of a long-horizon investor who uses deep learning methods to predict equity returns when forming optimal portfolios. Our results show statistically and economically significant benefits from using deep learning to form optimal portfolios through certainty...