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Bayesian Model Averaging in Multi-Factor Markets

https://doi.org/10.2139/ssrn.1930916
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/for.1088openalex-extracted
Forecasting US inflation by Bayesian model averaging
inferredcites →https://doi.org/10.1002/jae.1057openalex-extracted
On the effect of prior assumptions in Bayesian model averaging with applications to growth regression
inferredcites →https://doi.org/10.1002/jae.1070openalex-extracted
Forecasting realized volatility: a Bayesian model‐averaging approach
inferredcites →https://doi.org/10.1006/jmps.1999.1278openalex-extracted
Bayesian Model Selection and Model Averaging
inferredcites →https://doi.org/10.1007/s10679-004-6279-6openalex-extracted
Bankruptcy Prediction with Industry Effects
inferredcites →https://doi.org/10.1016/0304-405x(76)90004-0openalex-extracted
The effect of estimation risk on optimal portfolio choice
inferredcites →https://doi.org/10.1016/0304-405x(81)90018-0openalex-extracted
The relationship between return and market value of common stocks
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/b978-0-12-780850-5.50018-6openalex-extracted
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation,…
inferredcites →https://doi.org/10.1016/j.ijforecast.2009.01.005openalex-extracted
Bayesian portfolio selection using a multifactor model
inferredcites →https://doi.org/10.1016/j.jbankfin.2004.06.038openalex-extracted
Share price performance following actual share repurchases
inferredcites →https://doi.org/10.1016/j.jeconom.2008.08.012openalex-extracted
Bayesian Model Averaging and exchange rate forecasts
inferredcites →https://doi.org/10.1016/j.jempfin.2008.08.001openalex-extracted
Model averaging in risk management with an application to futures markets
inferredcites →https://doi.org/10.1016/j.jfineco.2005.10.011openalex-extracted
Multi-period corporate default prediction with stochastic covariates
inferredcites →https://doi.org/10.1016/s0304-405x(02)00131-9openalex-extracted
Stock return predictability and model uncertainty
inferredcites →https://doi.org/10.1016/s0304-4076(00)00076-2openalex-extracted
Benchmark priors for Bayesian model averaging
inferredcites →https://doi.org/10.1016/s1386-4181(98)00005-6openalex-extracted
The alpha factor asset pricing model: A parable
inferredcites →https://doi.org/10.1016/s1574-0706(05)01010-4openalex-extracted
Chapter 10 Forecasting with Many Predictors
inferredcites →https://doi.org/10.1017/s0022109000003550openalex-extracted
The Poor Predictive Performance of Asset Pricing Models
inferredcites →https://doi.org/10.1023/a:1013116204872openalex-extracted
Option pricing under model and parameter uncertainty using predictive densities
inferredcites →https://doi.org/10.1023/b:rast.0000013627.90884.b7openalex-extracted
Assessing the Probability of Bankruptcy
inferredcites →https://doi.org/10.1057/jam.2008.42openalex-extracted
Enhancing the Black–Litterman and related approaches: Views and stress-test on risk factors
inferredcites →https://doi.org/10.1080/01621459.1965.10480817openalex-extracted
Prediction and Decision Problems in Regression Models from the Bayesian Point of View
inferredcites →https://doi.org/10.1080/01621459.1994.10476894openalex-extracted
Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
inferredcites →https://doi.org/10.1080/01621459.2000.10474336openalex-extracted
The Variable Selection Problem
inferredcites →https://doi.org/10.1086/209665openalex-extracted
Forecasting Bankruptcy More Accurately: A Simple Hazard Model
inferredcites →https://doi.org/10.1093/biomet/45.3-4.296openalex-extracted
AN ESSAY TOWARDS SOLVING A PROBLEM IN THE DOCTRINE OF CHANCES
inferredcites →https://doi.org/10.1093/biomet/87.4.731openalex-extracted
Calibration and empirical Bayes variable selection
inferredcites →https://doi.org/10.1093/rfs/15.4.1223openalex-extracted
Stock Return Predictability: A Bayesian Model Selection Perspective
inferredcites →https://doi.org/10.1093/rfs/hhg059openalex-extracted
Stock Return Predictability and Asset Pricing Models
inferredcites →https://doi.org/10.1111/0022-1082.00204openalex-extracted
Portfolio Selection and Asset Pricing Models
inferredcites →https://doi.org/10.1111/1540-6261.00497openalex-extracted
Book‐to‐Market Equity, Distress Risk, and Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1974.tb03058.xopenalex-extracted
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
inferredcites →https://doi.org/10.1111/j.1540-6261.1975.tb03169.xopenalex-extracted
A BAYESIAN MODEL FOR PORTFOLIO SELECTION AND REVISION
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb04626.xopenalex-extracted
Structural and Return Characteristics of Small and Large Firms
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-extracted
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00650.xopenalex-extracted
Default Risk in Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01234.xopenalex-extracted
Simple Forecasts and Paradigm Shifts
inferredcites →https://doi.org/10.1111/j.2517-6161.1995.tb02015.xopenalex-extracted
Assessment and Propagation of Model Uncertainty
inferredcites →https://doi.org/10.1146/annurev-financial-120209-133947openalex-extracted
Bayesian Portfolio Analysis
inferredcites →https://doi.org/10.1198/016214507000001337openalex-extracted
Mixtures of g Priors for Bayesian Variable Selection
inferredcites →https://doi.org/10.1214/ss/1009212519openalex-extracted
Bayesian model averaging: a tutorial (with comments by M. Clyde, David Draper and E. I. George, and a rejoinder by the authors
inferredcites →https://doi.org/10.1287/mnsc.2016.2514openalex-extracted
Credit Ratings and Credit Risk: Is One Measure Enough?
inferredcites →https://doi.org/10.2139/ssrn.1097516openalex-extracted
Model Averaging in Risk Management with an Application to Futures Markets
inferredcites →https://doi.org/10.2139/ssrn.1102441openalex-extracted
Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System
inferredcites →https://doi.org/10.2139/ssrn.1213323openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.1342890openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.1474863openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.171436openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2387669openalex-extracted
The Markowitz Optimization Enigma: Is 'Optimized' Optimal?
inferredcites →https://doi.org/10.2139/ssrn.251279openalex-extracted
Stock Return Predictability: A Bayesian Model Selection Perspective
inferredcites →https://doi.org/10.2139/ssrn.260591openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.260595openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.287474openalex-extracted
Bankruptcy Prediction With Industry Effects
inferredcites →https://doi.org/10.2139/ssrn.297319openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.307479openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.392604openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.412801openalex-extracted
Simple Forecasts and Paradigm Shifts
inferredcites →https://doi.org/10.2139/ssrn.647862openalex-extracted
Multi-Period Corporate Failure Prediction with Stochastic Covariates
inferredcites →https://doi.org/10.2139/ssrn.749005openalex-extracted
inferredcites →https://doi.org/10.2307/1392185openalex-extracted
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.2307/1924119openalex-extracted
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.2307/2287437openalex-extracted
Specification Searches: Ad Hoc Inference With Nonexperimental Data.
inferredcites →https://doi.org/10.2307/2291091openalex-extracted
Bayes Factors
inferredcites →https://doi.org/10.2307/2297912openalex-extracted
Automatic Lag Selection in Covariance Matrix Estimation
inferredcites →https://doi.org/10.2307/2329112openalex-extracted
inferredcites →https://doi.org/10.2307/2331043openalex-extracted
An Empirical Bayes Approach to Efficient Portfolio Selection
inferredcites →https://doi.org/10.2307/2553491openalex-extracted
Specification Searches: Ad Hoc Inference with Non-Experimental Data.
inferredcites →https://doi.org/10.2307/2669776openalex-extracted
inferredcites →https://doi.org/10.2307/2983440openalex-extracted
Model Uncertainty, Data Mining and Statistical Inference
inferredcites →https://doi.org/10.2469/dig.v41.n4.5openalex-extracted
Predicting Financial Distress and the Performance of Distressed Stocks
inferredcites →https://doi.org/10.2469/faj.v45.n1.31openalex-extracted
The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
inferredcites →https://doi.org/10.2469/faj.v48.n5.28openalex-extracted
Global Portfolio Optimization
inferredcites →https://doi.org/10.3386/t0144openalex-extracted
Automatic Lag Selection in Covariance Matrix Estimation
inferredcites →https://doi.org/10.3386/w7284openalex-extracted
Comparing Asset Pricing Models: An Investment Perspective
inferredcites →https://doi.org/10.3905/jfi.1991.408013openalex-extracted
Asset Allocation
inferredcites →https://doi.org/10.3905/jpm.1993.409440openalex-extracted
The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
inferredcites →https://doi.org/10.5282/ubm/epub.10978openalex-extracted
inferredcites →https://doi.org/10.1016/s0304-405x(00)00044-1openalex-snapshot
Comparing asset pricing models: an investment perspective
inferredcites →https://doi.org/10.1111/0022-1082.00206openalex-snapshot
Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.3905/jfi.2016.26.2.040openalex-snapshot
Forecasting Swap Spreads:A Bayesian Approach
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