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A non-parametric test and predictive model for signed path dependence

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The book-to-market anomaly in the chinese stock markets

Ho, Kin-Yip; An, Jiyoun; Zhou, Lanyue - In: Journal of East Asian economic integration 19 (2015) 3, pp. 223-241

This paper examines the existence of value premium in the Chinese stock markets and empirically provides its explanation. Our results suggest that the value premium does exist in the Chinese markets, and investor sophistication is significant in explaining its existence. In particular, there is...

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Machine learning in empirical asset pricing

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The cross-section of consumer lending risk

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Verbeek, Roy - 2017

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Return asymmetry and the cross section of stock returns

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Asset pricing and extreme event risk : common factors in ILS fund returns

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