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Working Paper

Predicting Returns with Text Data

We introduce a new text-mining methodology that extracts sentiment information from news articles to predict asset returns.

Working Paper

Credit Implied Volatility

This paper introduces the concept of a credit implied volatility surface. The credit implied volatility (CIV) can be interpretable as risk-neutral asset volatility of the underlying firm—the slope of the CIV term structure is negative in downturns and positive during expansions.

Journal Article

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Working Paper

Principal Portfolios

We propose a new asset-pricing framework in which all securities’ signals are used to predict each individual return. While the literature focuses on each security’s own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes cross-predictability.

Journal Article

Empirical Asset Pricing via Machine Learning

We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.

Working Paper

Modeling Corporate Bond Returns

We propose a new conditional factor model for corporate bond returns with four factors and time-varying factor loadings instrumented by observable bond characteristics. We find our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin.

Working Paper

Understanding Momentum and Reversals

Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation.

Working Paper

Climate Finance

The paper reviews the literature studying interactions between climate change and financial markets, including various approaches to incorporating climate risk in macro-finance models as well as the empirical literature that explores the pricing of climate risks across several asset classes.

Working Paper

Characteristics Are Covariances: A Unified Model of Risk and Return

We propose a new modeling approach for the cross section of returns that helps determine whether excess returns to factors are driven by compensation for risk, or an anomaly effect.

White Paper

Equity Term Structures without Dividend Strips Data

We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics.. The new term structure data generated by our model represent new empirical moments that can be used to guide and evaluate asset pricing models.