This paper considers the problem of modeling a firm's expected return as a nonlinear function of its observable characteristics. We investigate whether theoretically-motivated monotonicity constraints on characteristics and nonstationarity of the conditional expectation function provide...

We present an industry classification–level model of economic activities in terms of (1) risk of the novel coronavirus spread and (2) economic contribution for the Austin, Texas, metropolitan area. Our measure combines various categories of activities that seem to lead to viral spread. We...

This paper considers passive fund selection from an individual investor's perspective. The growth of the passive fund market over the past decade is staggering. Individual investors who wish to buy these funds for their retirement and brokerage accounts have many options and are faced with a...

We introduce a simulation-free method to model and forecast multiple asset returns and employ it to investigate the optimal ensemble of features to include when jointly predicting monthly stock and bond excess returns. Our approach builds on the Bayesian Dynamic Linear Models of West and...