Indices providing cost-efficient passive exposure to factors such as value, growth, momentum, small size or low volatility, and other non-cap-weighted indices such as high dividend yield, high quality, high and low beta or equal-weighted indices, are well known and widely used in practice as...

Traditional finance theory posits that the relationship between the risk and return of stocks is positive. Furthermore, investment practice is often based on the central contention of the Capital Asset Pricing Model (CAPM) that high (low) beta stocks earn higher (lower) returns. However, this...

We examine the price behavior of 56 major markets over the last 16 years applying a set of univariate and multivariate robust statistical tests across different time frequencies. Our results can be considered as an augmented true out-of-sample test of all previous research testing for...

We examine the relation between stock returns and profit persistence. Profit persistence is an indicator of competitive pressure or managerial ability. This, in turn, can impact firm risk and cash flow and thus stock returns. Using data on US firms, we consider panel regression at both sector...

This study quantifies the presence of financial distress in the cross section of stock returns. Systemic risk is defined as the occurrence of simultaneous tail events for a large fraction of firms. A tail event is interpreted as evidence of downside risk in the tail distribution of financial...

We extract contextualized representations of news text to predict returns using the state-of-the-art large language models in natural language processing. Unlike the traditional bag-of-words approach, the contextualized representation captures both the syntax and semantics of text, thus...

Traditional machine learning methods have been widely studied in financial innovation. My study focuses on the application of deep learning methods on asset pricing.I investigate various deep learning methods for asset pricing, especially for risk premia measurement. All models take the same set...