In this paper, we use two prevailing shrinkage methods, the lasso and elastic net, to predict
oil price returns with a large set of predictors. The out-of-sample results indicate that the …

Given the competition for top journal space, there is an incentive to produce “significant”
results. With the combination of unreported tests, lack of adjustment for multiple tests, and …

We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds,
featuring time variation in both risk aversion and economic uncertainty. The joint dynamics …

This paper proposes two new methods (the Quantile Group LASSO and the Quantile Group
SCAD models) to evaluate the predictability of a large group of factors on carbon futures …

This paper constructs a manager sentiment index based on the aggregated textual tone of
corporate financial disclosures. We find that manager sentiment is a strong negative …

We analyze the impact of sentiment and attention variables on the stock market volatility by
using a novel and extensive dataset that combines social media, news articles, information …

In this paper, we re-examine the relationship between oil price and stock prices in oil
exporting and oil importing countries in the following distinct ways. First, we account for …

Managed portfolios that take less risk when volatility is high produce large alphas, increase
Sharpe ratios, and produce large utility gains for mean‐variance investors. We document …

The effect of COVID-19 on stock market performance has important implications for both
financial theory and practice. This paper examines the relationship between COVID-19 and …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …