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Machine learning and return predictability across firms, time and portfolios (JMP)

Previous research finds that machine learning methods predict short-term return variation in the cross-section of stocks, even when these methods do not impose strict economic restrictions. However, without such restrictions, the predictions from the …

New and Old Sorts: Implications for Asset Pricing

We study the returns to characteristic-sorted portfolios up to five years after portfolio formation. Among a set of 56 characteristics, we find large pricing errors between the contemporaneous returns of new and old sorts, where new sorts use only …

New and Old Sorts: Implications for Asset Pricing

We study the returns to characteristic-sorted portfolios up to five years after portfolio formation. Among a set of 56 characteristics, we find large pricing errors between the contemporaneous returns of new and old sorts, where new sorts use only …