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Improving Hedge Fund Return Prediction: Dealing with Missing Data via Deep Learning

https://doi.org/10.2139/ssrn.5140293
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-snapshot
Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(95)00868-fopenalex-snapshot
Commonality in the determinants of expected stock returns
inferredcites →https://doi.org/10.1016/j.jbankfin.2018.11.003openalex-snapshot
Upside potential of hedge funds as a predictor of future performance
inferredcites →https://doi.org/10.1016/j.jfineco.2005.11.001openalex-snapshot
Share restrictions and asset pricing: Evidence from the hedge fund industry☆
inferredcites →https://doi.org/10.1016/j.jfineco.2010.10.003openalex-snapshot
Hedge funds, managerial skill, and macroeconomic variables☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.05.005openalex-snapshot
Systematic risk and the cross section of hedge fund returns
inferredcites →https://doi.org/10.1016/j.jfineco.2023.07.004openalex-snapshot
Machine-learning the skill of mutual fund managers
inferredcites →https://doi.org/10.1017/s0022109013000422openalex-snapshot
Hedge Fund Return Predictability Under the Magnifying Glass
inferredcites →https://doi.org/10.1017/s0022109020000794openalex-snapshot
Does Industry Timing Ability of Hedge Funds Predict Their Future Performance, Survival, and Fund Flows?
inferredcites →https://doi.org/10.1080/07350015.1995.10524599openalex-snapshot
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.1080/10618600.2012.681250openalex-snapshot
A Sparse-Group Lasso
inferredcites →https://doi.org/10.1093/qje/qjw024openalex-snapshot
Measuring Economic Policy Uncertainty*
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa111openalex-snapshot
Thousands of Alpha Tests
inferredcites →https://doi.org/10.1093/rfs/hhae003openalex-snapshot
Missing Data in Asset Pricing Panels
inferredcites →https://doi.org/10.1093/rfs/hhae036openalex-snapshot
Missing Financial Data
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhq105openalex-snapshot
Do the Best Hedge Funds Hedge?
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhw102openalex-snapshot
Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
inferredcites →https://doi.org/10.1093/rfs/hhx019openalex-snapshot
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhz123openalex-snapshot
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.1093/rof/rfae027openalex-snapshot
Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning
inferredcites →https://doi.org/10.1111/fima.12304openalex-snapshot
Predicting hedge fund performance when fund returns are skewed
inferredcites →https://doi.org/10.1111/j.1467-9868.2005.00503.xopenalex-snapshot
Regularization and Variable Selection Via the Elastic Net
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-snapshot
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1137/080738970openalex-snapshot
A Singular Value Thresholding Algorithm for Matrix Completion
inferredcites →https://doi.org/10.1198/016214506000000735openalex-snapshot
The Adaptive Lasso and Its Oracle Properties
inferredcites →https://doi.org/10.1561/104.00000112openalex-snapshot
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.2307/2676205openalex-snapshot
Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases
inferredcites →https://doi.org/10.2469/faj.v60.n5.2657openalex-snapshot
Hedge Fund Benchmarks: A Risk-Based Approach
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