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Forest through the Trees: Building Cross‐Sections of Stock Returns

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Estimation with Quadratic Loss
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The relationship between return and market value of common stocks
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Autoencoder Asset Pricing Models
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A skeptical appraisal of asset pricing tests☆
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Shrinking the cross-section
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Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
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Asset Pricing with Omitted Factors
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Empirical Asset Pricing via Machine Learning
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Factors That Fit the Time Series and Cross-Section of Stock Returns
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Missing Financial Data
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
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Which Alpha?
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Dissecting Characteristics Nonparametrically
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An Augmented q -Factor Model with Expected Growth
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The Cross-Section of Expected Stock Returns
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The Cross‐Section of Volatility and Expected Returns
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Estimation and Evaluation of Conditional Asset Pricing Models
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Presidential Address: Discount Rates
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Taming the Factor Zoo: A Test of New Factors
inferredcites →https://doi.org/10.1146/annurev-financial-120209-133947openalex-snapshot
Bayesian Portfolio Analysis
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Projected principal component analysis in factor models
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Deep Learning in Asset Pricing
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Testing Factor-Model Explanations of Market Anomalies
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Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns
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Dissecting Characteristics Nonparametrically
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Factors That Fit the Time Series and Cross-Section of Stock Returns
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Bayes-Stein Estimation for Portfolio Analysis
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Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?
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Estimation and Evaluation of Conditional Asset Pricing Models
inferredcites →https://doi.org/10.3386/w26586openalex-snapshot
Market Efficiency in the Age of Big Data
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Honey, I Shrunk the Sample Covariance Matrix

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inferred← citeshttps://doi.org/10.2139/ssrn.5004801openalex-snapshot
Different Opinion or Information Asymmetry: Machine-based Measure and Consequences
inferred← citeshttps://doi.org/10.2139/ssrn.5071465openalex-snapshot
Do Trades and Holdings of Market Participants Contain Information About Stocks? A Machine-Learning Approach
inferred← citeshttps://doi.org/10.2139/ssrn.5076023openalex-snapshot
Glass Box Machine Learning and Corporate Bond Returns
inferred← citeshttps://doi.org/10.2139/ssrn.5095345openalex-snapshot
Spanning the Achievable Stochastic Discount Factor with Asset Pricing Trees
inferred← citeshttps://doi.org/10.2139/ssrn.5135221openalex-snapshot
Real Time Investor Alphas and the Survival of the Anomaly Zoo
inferred← citeshttps://doi.org/10.2139/ssrn.5161644openalex-snapshot
Beyond Black-Box AI: A Theory of Interpretable Transformers for Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.5181447openalex-snapshot
Higher-Order Asset Pricing Factors via Forward Selection Fama-MacBeth Regression
inferred← citeshttps://doi.org/10.2139/ssrn.5403164openalex-snapshot
Deep Learning-Based Nonlinear Causal Filtering for Diversification: A Core–Satellite Portfolio Strategy
inferred← citeshttps://doi.org/10.2139/ssrn.5742643openalex-snapshot
Algorithmic Exuberance
inferred← citeshttps://doi.org/10.2139/ssrn.5802643openalex-snapshot
Fund Selection via Dual-Screening Classification: Evidence from China
inferred← citeshttps://doi.org/10.2139/ssrn.6050827openalex-snapshot
How Rational Is AI Investment Advice? Risk-Return Relevance in Artificial Intelligence (AI) Investments
inferred← citeshttps://doi.org/10.2139/ssrn.6134446openalex-snapshot
Autonomous Market Intelligence: Agentic AI Nowcasting Predicts Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.6136149openalex-snapshot
Covariance Implied Risk Factors
inferred← citeshttps://doi.org/10.2139/ssrn.6276278openalex-snapshot
Generative AI for Finance: A New Framework
inferred← citeshttps://doi.org/10.2139/ssrn.6691958openalex-snapshot
AlphaGlass: Interpretable Characteristic-Based Portfolio Choice
inferred← citeshttps://doi.org/10.2139/ssrn.6840248openalex-snapshot
Asset Pricing via Adaptive Dual-Graph in Chinese Stock Market
inferred← citeshttps://doi.org/10.2139/ssrn.6859500openalex-snapshot
The Macro Alibi: Subjective Risk Attribution in Analyst Scenarios
inferred← citeshttps://doi.org/10.2139/ssrn.7092381openalex-snapshot
Stripping Discount Curves Across Currencies: Transfer Learning from US Treasuries
inferred← citeshttps://doi.org/10.2139/ssrn.7128318openalex-snapshot
Overshooting the Coordinate: Where Factor Corrections Land on Characteristic Axes
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Charting benchmark-outperformance probabilities
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Spatiotemporal Signals in Residuals: A Two-Stage Boosting Graph Neural Network for Stock Return Prediction
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Essays on Empirical Asset Pricing
inferred← citeshttps://doi.org/10.22495/rarv3i1p3openalex-snapshot
Artificial intelligence and the dual paradoxes: Reporting the interplay of efficiency, resource consumption, and labor dynamics
inferred← citeshttps://doi.org/10.3386/w27843openalex-snapshot
Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases
inferred← citeshttps://doi.org/10.3386/w29723openalex-snapshot
Machine-Learning the Skill of Mutual Fund Managers
inferred← citeshttps://doi.org/10.3386/w31424openalex-snapshot
Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing
inferred← citeshttps://doi.org/10.3386/w31689openalex-snapshot
Complexity in Factor Pricing Models
inferred← citeshttps://doi.org/10.3390/jrfm19040274openalex-snapshot
Machine Learning, Thematic Feature Grouping, and the Magnificent Seven: A Forecasting Analysis
inferred← citeshttps://doi.org/10.3905/jfds.2021.1.062openalex-snapshot
The Promises and Pitfalls of Machine Learning for Predicting Stock Returns
inferred← citeshttps://doi.org/10.3905/jfds.2021.1.071openalex-snapshot
Machine Learning for Active Portfolio Management
inferred← citeshttps://doi.org/10.3905/jfds.2021.1.084openalex-snapshot
Investable and Interpretable Machine Learning for Equities
inferred← citeshttps://doi.org/10.4018/979-8-3373-1200-2.ch019openalex-snapshot
AI and Financial Risk Management Revolutionizing Risk Assessment and Mitigation
inferred← citeshttps://doi.org/10.48550/arxiv.2301.00292openalex-snapshot
Inference for Large Panel Data with Many Covariates
inferred← citeshttps://doi.org/10.54254/2754-1169/34/20231669openalex-snapshot
A Literature Study of Asset Pricing Based on Machine Learning Method
inferred← citeshttps://doi.org/10.62843/jssr.v6i4.764openalex-snapshot
Machine Learning, Valuation Signals, and Portfolio Return Forecasting: Evidence from the Pakistan Stock Exchange
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