We examine the out-of-sample performance of 240 stock market anomalies enhanced by 49 machine learning algorithms and over 260 individually trained models across an international data sample of nearly 1.9 billion stock-month-anomaly observations from 1980 to 2019. We demonstrate significant...

Addressing recent calls by European regulatory and supervisory authorities, we develop a new bottom-up climate risk assessment method to examine the resilience of the European banking industry regarding transitory climate risks. We illustrate our approach by estimating the impact of a 50-100 EUR...

We evaluate the relation between 133 anomalies/factors and market states using a sample of 57 countries from 1980 to 2019. The vast majority (96 of 133; 50 significant at the 5% level) performs better in bad times; 9 anomalies perform significantly better in good times, including market, size,...

We propose a proxy for global equity mispricing (mispricing $R^2$) based on an instrumented principal component analysis of the return variation of 198 mispricing anomalies. We find that mispricing $R^2$ is higher for countries with lower market development, lower accounting quality, and higher...

Most retailers that sell perishable goods offer multiple products in a product category (e.g., fresh food or fashion). Managing the inventories of these products is especially challenging due to frequent stock-outs and resulting substitution effects within the category. Furthermore, the true...

Previous research indicates that a lack of financial sophistication might explain the past strong growth in active management. We construct an objective financial literacy score and analyze the relation between financial literacy and mutual fund investment behavior. We show that there is a...