Similar Search Results - EconBiz

Factor Structure of Cross-Sectional Stock Returns : A Machine Learning Approach

Jiao, Yuxiao; Zhu, Yingzi - 2022

We propose a unsupervised learning approach to construct latent factor model for cross sectional asset returns where firm characteristics instrument for the dynamic factor exposures. Firm characteristics are clustered with consideration to their prior economic content. Our method can also be...

Persistent link: https://www.econbiz.de/10014256230

On cross-section stock returns : maximum likelihood approach

Zhou, Guofu - 1997 - Current version: July 1998

Persistent link: https://www.econbiz.de/10004362189

Security factors as linear combinations of economic variables

Zhou, Guofu - In: Journal of financial markets 2 (1999) 3, pp. 403-432

Persistent link: https://www.econbiz.de/10001426717

Small sample rank tests with applications to asset pricing

Zhou, Guofu - In: Journal of empirical finance 2 (1995) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10001181811

Asset-pricing tests under alternative distributions

Zhou, Guofu - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1927-1942

Persistent link: https://www.econbiz.de/10001155917

Small sample tests of portfolio efficiency

Zhou, Guofu - In: Journal of financial economics 30 (1991) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10001121692

How much stock return predictability can we expect from an asset pricing model?

Zhou, Guofu - In: Economics letters 108 (2010) 2, pp. 184-186

Persistent link: https://www.econbiz.de/10008699206

Beyond Black-Litterman : letting the data speak

Zhou, Guofu - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 36-45

Persistent link: https://www.econbiz.de/10003909565

Measuring investor sentiment

Zhou, Guofu - In: Annual review of financial economics 10 (2018), pp. 239-259

Persistent link: https://www.econbiz.de/10011959822

On the fundamental law of active portfolio management : what happens if our estimates are wrong?

Zhou, Guofu - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 26-33

Persistent link: https://www.econbiz.de/10003769532

A service of the