Source Themes

Depressed Risk Premia or Mispricing; Where Did the Commodity Returns Go After Financialization?

The flow of investment capital into the commodity futures market dramatically increased around 2004, and this event is referred to as the financialization of commodity markets. We study how this phenomenon has affected risk premia in this asset class …

The Factor Model Failure Puzzle

Despite the weak theoretical assumptions needed to guarantee the existence of a factor model that prices the cross-section of stock returns we show in a meta-analysis of fifteen state-of-the-art models that none of these models can price the …

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia

We show that returns to value strategies in individual equities, industries, commodities, currencies, global government bonds, and global stock indexes are predictable in the time series by their respective value spreads. In all these asset classes, …

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 …

Unifying Risk and Return: A Bayesian approach

New and Old Sorts: Implications for Asset Pricing

For many characteristics, like book-to-market, the persistence of return predictability does not match the persistence of the characteristic. Consequently, large alphas exist between new and old sorts, where new (old) sorts capture the return of a …

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 …