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Episodic Factor Pricing

https://doi.org/10.2139/ssrn.6083826
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The arbitrage theory of capital asset pricing
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.jfineco.2005.07.014openalex-snapshot
Predicting stock returns☆
inferredcites →https://doi.org/10.1016/j.jfineco.2010.09.008openalex-snapshot
Time-varying short-horizon predictability☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.11.005openalex-snapshot
The role of shorting, firm size, and time on market anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2013.01.003openalex-snapshot
The other side of value: The gross profitability premium
inferredcites →https://doi.org/10.1016/j.jfineco.2014.07.015openalex-snapshot
Forecasting stock returns under economic constraints
inferredcites →https://doi.org/10.1016/j.jfineco.2014.11.010openalex-snapshot
Momentum has its moments
inferredcites →https://doi.org/10.1016/j.jfineco.2015.12.002openalex-snapshot
Momentum crashes
inferredcites →https://doi.org/10.1016/j.jfineco.2018.05.006openalex-snapshot
Size matters, if you control your junk
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-snapshot
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jfineco.2020.04.015openalex-snapshot
On the performance of volatility-managed portfolios
inferredcites →https://doi.org/10.1016/j.jmoneco.2017.01.001openalex-snapshot
Investor Sentiment and Economic Forces
inferredcites →https://doi.org/10.1086/295472openalex-snapshot
Capital Market Equilibrium with Restricted Borrowing
inferredcites →https://doi.org/10.1086/323282openalex-snapshot
Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa084openalex-snapshot
Break Risk
inferredcites →https://doi.org/10.1093/rfs/hhad006openalex-snapshot
Factor Momentum
inferredcites →https://doi.org/10.1093/rfs/hhaf053openalex-snapshot
Investor Sentiment and the Pricing of Characteristics-Based Factors
inferredcites →https://doi.org/10.1093/rfs/hhi023openalex-snapshot
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhj025openalex-snapshot
Asset Pricing Models and Financial Market Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhp063openalex-snapshot
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
inferredcites →https://doi.org/10.1093/rfs/hhr068openalex-snapshot
Common Risk Factors in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-snapshot
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhw101openalex-snapshot
Which Alpha?
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/hhx084openalex-snapshot
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
inferredcites →https://doi.org/10.1093/rfs/hhz069openalex-snapshot
Short and Long Horizon Behavioral Factors
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/10.1111/0022-1082.00206openalex-snapshot
Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb04891.xopenalex-snapshot
Performance Hypothesis Testing with the Sharpe and Treynor Measures
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-snapshot
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-snapshot
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12021openalex-snapshot
Value and Momentum Everywhere
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12383openalex-snapshot
Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly
inferredcites →https://doi.org/10.1111/jofi.12513openalex-snapshot
Volatility‐Managed Portfolios
inferredcites →https://doi.org/10.1111/jofi.12612openalex-snapshot
Interpreting Factor Models
inferredcites →https://doi.org/10.1111/jofi.13099openalex-snapshot
Anomalies and the Expected Market Return
inferredcites →https://doi.org/10.1111/jofi.13131openalex-snapshot
Factor Momentum and the Momentum Factor
inferredcites →https://doi.org/10.1111/jofi.13199openalex-snapshot
Principal Portfolios
inferredcites →https://doi.org/10.1111/jofi.13395openalex-snapshot
A Multifactor Perspective on Volatility‐Managed Portfolios
inferredcites →https://doi.org/10.1287/mnsc.2023.4695openalex-snapshot
Deep Learning in Asset Pricing
inferredcites →https://doi.org/10.1561/104.00000024openalex-snapshot
The Cross-section of Expected Stock Returns
inferredcites →https://doi.org/10.1561/104.00000112openalex-snapshot
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.2307/1924119openalex-snapshot
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.3386/w34898openalex-snapshot
What Threshold Should be Applied to Tests of Factor Models?
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