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JEL: C5 - Econometric Modeling
Journal Article
News and Asset Pricing: A High-Frequency Anatomy of the SDF Get access
The Review of Financial Studies, Volume 38, Issue 3, March 2025, Pages 712–759, https://doi.org/10.1093/rfs/hhae019
Published: 16 May 2024
Journal Article
Missing Data in Asset Pricing Panels Get access
The Review of Financial Studies, Volume 38, Issue 3, March 2025, Pages 760–802, https://doi.org/10.1093/rfs/hhae003
Published: 27 January 2024
Journal Article
Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text Get access
The Review of Financial Studies, Volume 36, Issue 12, December 2023, Pages 4759–4787, https://doi.org/10.1093/rfs/hhad042
Published: 15 May 2023
Journal Article
When Do Low-Frequency Measures Really Measure Effective Spreads? Evidence from Equity and Foreign Exchange Markets Get access
The Review of Financial Studies, Volume 36, Issue 10, October 2023, Pages 4190–4232, https://doi.org/10.1093/rfs/hhad028
Published: 18 April 2023
Journal Article
Risk Price Variation: The Missing Half of Empirical Asset Pricing Get access
The Review of Financial Studies, Volume 35, Issue 11, November 2022, Pages 5127–5184, https://doi.org/10.1093/rfs/hhac012
Published: 22 February 2022
Journal Article
Conditional Dynamics and the Multihorizon Risk-Return Trade-Off Get access
The Review of Financial Studies, Volume 35, Issue 3, March 2022, Pages 1310–1347, https://doi.org/10.1093/rfs/hhab053
Published: 22 April 2021
Journal Article
EDITOR'S CHOICE
Methodological Variation in Empirical Corporate Finance Get access
The Review of Financial Studies, Volume 35, Issue 2, February 2022, Pages 527–575, https://doi.org/10.1093/rfs/hhab030
Published: 16 March 2021
Journal Article
Term Structure of Risk in Expected Returns Get access
The Review of Financial Studies, Volume 34, Issue 12, December 2021, Pages 6032–6086, https://doi.org/10.1093/rfs/hhab013
Published: 30 January 2021
Journal Article
Thousands of Alpha Tests Get access
The Review of Financial Studies, Volume 34, Issue 7, July 2021, Pages 3456–3496, https://doi.org/10.1093/rfs/hhaa111
Published: 24 September 2020
Journal Article
Arbitrage Portfolios Get access
The Review of Financial Studies, Volume 34, Issue 6, June 2021, Pages 2813–2856, https://doi.org/10.1093/rfs/hhaa102
Published: 07 September 2020
Journal Article
Microstructure in the Machine Age Get access
The Review of Financial Studies, Volume 34, Issue 7, July 2021, Pages 3316–3363, https://doi.org/10.1093/rfs/hhaa078
Published: 07 July 2020
Journal Article
Bond Risk Premiums with Machine Learning Get access
The Review of Financial Studies, Volume 34, Issue 2, February 2021, Pages 1046–1089, https://doi.org/10.1093/rfs/hhaa062
Published: 25 May 2020
Journal Article
Dissecting Characteristics Nonparametrically Get access
The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2326–2377, https://doi.org/10.1093/rfs/hhz123
Published: 17 April 2020
Journal Article
Implied Stochastic Volatility Models Get access
The Review of Financial Studies, Volume 34, Issue 1, January 2021, Pages 394–450, https://doi.org/10.1093/rfs/hhaa041
Published: 30 March 2020
Journal Article
Factors That Fit the Time Series and Cross-Section of Stock Returns Get access
The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2274–2325, https://doi.org/10.1093/rfs/hhaa020
Published: 17 March 2020
Journal Article
Empirical Asset Pricing via Machine Learning
The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2223–2273, https://doi.org/10.1093/rfs/hhaa009
Published: 26 February 2020
Journal Article
Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based Get access
The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4403–4443, https://doi.org/10.1093/rfs/hhz135
Published: 11 November 2019
Journal Article
Measuring Sovereign Bond Market Integration Get access
The Review of Financial Studies, Volume 33, Issue 8, August 2020, Pages 3446–3491, https://doi.org/10.1093/rfs/hhz107
Published: 19 September 2019
Journal Article
Testing Beta-Pricing Models Using Large Cross-Sections Get access
The Review of Financial Studies, Volume 33, Issue 6, June 2020, Pages 2796–2842, https://doi.org/10.1093/rfs/hhz064
Published: 01 July 2019
Journal Article
Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options Get access
The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 155–211, https://doi.org/10.1093/rfs/hhz043
Published: 26 April 2019
