While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce Deep Momentum Networks -- a hybrid approach which injects deep learning based trading rules into...

The success of a cross-sectional systematic strategy depends critically on accurately ranking assets prior to portfolio construction. Contemporary techniques perform this ranking step either with simple heuristics or by sorting outputs from standard regression or classification models, which...

We document substantial increases in corporate security offerings since the start of the COVID-19 pandemic. While the rise in SEOs is attributable to shifts in macroeconomic conditions, convertible and straight bond offering increases cannot be explained by standard security choice determinants...

We document substantial increases in corporate security offerings since the start of the COVID-19 pandemic. While the rise in SEOs is attributable to shifts in macroeconomic conditions, convertible and straight bond offering increases cannot be explained by standard security choice determinants...

We show that the intensity of "keeping up with the Joneses" behavior is largely determined by the extent to which a community is socially connected. Using a unique dataset on car purchases in Southern California, we find that social influence intensifies in suburban communities in which...

Crowdfunding markets enable entrepreneurs to communicate material information even when it is nonstandard or more difficult to quantify or verify. Using a large crowdsourced survey that asks participants to rate live Kickstarter campaigns, we show that human raters outperform machines in...