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Macroeconomic Announcement and Machine Learning for Asset Pricing

https://doi.org/10.2139/ssrn.4824740
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Financial Markets and the Real Economy
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The short of it: Investor sentiment and anomalies
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Betting against beta
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Asset pricing: A tale of two days
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The term structure of credit spreads, firm fundamentals, and expected stock returns
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Intermediary asset pricing: New evidence from many asset classes
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Characteristics are covariances: A unified model of risk and return
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Machine-learning the skill of mutual fund managers
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The use of asset growth in empirical asset pricing models
inferredcites →https://doi.org/10.1016/j.jfineco.2024.103910openalex-extracted
From Man vs. Machine to Man + Machine: The art and AI of stock analyses
inferredcites →https://doi.org/10.1016/j.jmoneco.2018.06.003openalex-extracted
Anomalies and market (dis)integration
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-extracted
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-extracted
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa062openalex-extracted
Bond Risk Premiums with Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhab080openalex-extracted
A Model of Two Days: Discrete News and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhad017openalex-extracted
Option Return Predictability with Machine Learning and Big Data
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/hhv059openalex-extracted
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhy128openalex-extracted
External Equity Financing Shocks, Financial Flows, and Asset Prices
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.1540-6261.2006.00885.xopenalex-extracted
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-extracted
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/jofi.12189openalex-extracted
Financial Intermediaries and the Cross‐Section of Asset Returns
inferredcites →https://doi.org/10.1111/jofi.12196openalex-extracted
The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12818openalex-extracted
Stock Returns Over the FOMC Cycle
inferredcites →https://doi.org/10.1111/jofi.13249openalex-extracted
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1287/mnsc.2022.4449openalex-extracted
Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.2434156openalex-extracted
External Equity Financing Shocks, Financial Flows, and Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.4388526openalex-extracted
APT or “AIPT”? The Surprising Dominance of Large Factor Models
inferredcites →https://doi.org/10.2139/ssrn.464843openalex-extracted
Investor Sentiment and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.3386/w28800openalex-extracted
From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses
inferredcites →https://doi.org/10.3982/ecta14607openalex-extracted
Risk Preferences and the Macroeconomic Announcement Premium
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