Source Themes

New and Old Sorts: Implications for Optimal Portfolios

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

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 …

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, …