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Cyclicality in the Prices of Risk What More Can We Learn from Explainable AI?1
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Asset returns and inflation
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Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives
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How do accounting variables explain stock price movements? Theory and evidence
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Drivers of Economic and Financial Integration: A Machine Learning Approach
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The intertemporal relation between expected returns and risk
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A skeptical appraisal of asset pricing tests☆
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Multifactor models and their consistency with the ICAPM
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A five-factor asset pricing model
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State variables, macroeconomic activity, and the cross section of individual stocks
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Accruals, cash flows, and operating profitability in the cross section of stock returns
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Shrinking the cross-section
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Time-varying state variable risk premia in the ICAPM
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Realized semibetas: Disentangling “good” and “bad” downside risks
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Machine learning in the Chinese stock market
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The intertemporal capital asset pricing model with dynamic conditional correlations
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Yield Spreads as Alternative Risk Factors for Size and Book-to-Market
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Using Stocks or Portfolios in Tests of Factor Models
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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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The Variation of Economic Risk Premiums
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How Important Is Intertemporal Risk for Asset Allocation?*
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Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Stock Market Risk and Return: An Equilibrium Approach
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International Asset Allocation With Regime Shifts
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Empirical Asset Pricing via Machine Learning
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Option Return Predictability with Machine Learning and Big Data
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Average Idiosyncratic Volatility in G7 Countries
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Expected Stock Returns and Variance Risk Premia
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Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
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Dissecting Characteristics Nonparametrically
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Utilizing Macroeconomic Factors for Sector Rotation based on Interpretable Machine Learning and Explainable AI
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Extreme Correlation of International Equity Markets
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Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00678.xopenalex-snapshot
Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00849.xopenalex-snapshot
Do the Fama–French Factors Proxy for Innovations in Predictive Variables?
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00877.xopenalex-snapshot
Uncovering the Risk-Return Relation in the Stock Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01695.xopenalex-snapshot
Tails, Fears, and Risk Premia
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Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
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Taming the Factor Zoo: A Test of New Factors
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Testing Factor-Model Explanations of Market Anomalies
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An Intertemporal Capital Asset Pricing Model
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Risk Premia and the Dynamic Covariance between Stock and Bond Returns
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The Use of DuPont Analysis by Market Participants
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Valuation Ratios and the Long-Run Stock Market Outlook: An Update
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Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
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Industry Return Predictability: A Machine Learning Approach
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Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
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