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The Value of Economic Regularization for Stock Return Predictability

https://doi.org/10.2139/ssrn.4723220
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/for.3980120805openalex-extracted
On the limitations of comṕaring mean square forecast errors: Comment
inferredcites →https://doi.org/10.1016/b978-0-444-53683-9.00006-2openalex-extracted
Forecasting Stock Returns
inferredcites →https://doi.org/10.1016/j.finmar.2016.09.001openalex-extracted
Equity premium prediction: The role of economic and statistical constraints
inferredcites →https://doi.org/10.1016/j.jbankfin.2012.06.008openalex-extracted
Do return prediction models add economic value?
inferredcites →https://doi.org/10.1016/j.jbankfin.2018.07.012openalex-extracted
Portfolio selection with proportional transaction costs and predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2003.02.001openalex-extracted
The importance of the loss function in option valuation
inferredcites →https://doi.org/10.1016/j.jfineco.2014.07.015openalex-extracted
Forecasting stock returns under economic constraints
inferredcites →https://doi.org/10.1016/j.jfineco.2016.03.004openalex-extracted
Short interest and aggregate stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-extracted
Shrinking the cross-section
inferredcites →https://doi.org/10.1017/s0022109016000831openalex-extracted
Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing
inferredcites →https://doi.org/10.1017/s0022109017000096openalex-extracted
Upper Bounds on Return Predictability
inferredcites →https://doi.org/10.1017/s0022109026102889openalex-extracted
Betting Against the Crowd: Option Trading and Market Risk Premium
inferredcites →https://doi.org/10.1080/00401706.1970.10488634openalex-extracted
Ridge Regression: Biased Estimation for Nonorthogonal Problems
inferredcites →https://doi.org/10.1093/0198296940.001.0001openalex-extracted
Strategic Asset Allocation
inferredcites →https://doi.org/10.1093/rapstu/ray010openalex-extracted
A Fresh Look at Return Predictability Using a More Efficient Estimator
inferredcites →https://doi.org/10.1093/rfs/hhae044openalex-extracted
A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-extracted
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-extracted
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-extracted
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1093/rfs/hhp003openalex-extracted
Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-extracted
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rof/rfac035openalex-extracted
On the Economic Significance of Stock Return Predictability
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-extracted
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1111/jofi.13298openalex-extracted
The Virtue of Complexity in Return Prediction
inferredcites →https://doi.org/10.1287/mnsc.2013.1838openalex-extracted
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.1287/mnsc.2019.3520openalex-extracted
Information Content of Aggregate Implied Volatility Spread
inferredcites →https://doi.org/10.2139/ssrn.1568267openalex-extracted
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.2139/ssrn.1944052openalex-extracted
Do Return Prediction Models Add Economic Value?
inferredcites →https://doi.org/10.2139/ssrn.2186574openalex-extracted
Forecasting Stock Returns Under Economic Constraints
inferredcites →https://doi.org/10.2307/1271436openalex-extracted
Ridge Regression: Biased Estimation for Nonorthogonal Problems
inferredcites →https://doi.org/10.23943/princeton/9780691218700.001.0001openalex-extracted
Machine Learning in Asset Pricing
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