We survey recent methodological contributions in asset pricing using factor models and
machine learning. We organize these results based on their primary objectives: estimating …

This short review presents a selected history of the mutual fertilization between physics and
economics—from Isaac Newton and Adam Smith to the present. The fundamentally different …

We survey the nascent literature on machine learning in the study of financial markets. We
highlight the best examples of what this line of research has to offer and recommend …

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 …

We empirically analyze the nature of returns to scale in active mutual fund management. We
find strong evidence of decreasing returns at the industry level. As the size of the active …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

Working with one of the largest brokerages in Germany, we record what happens when
unbiased investment advice is offered to a random set of approximately 8,000 active retail …

Mutual funds change their risk levels significantly over time. Risk shifting might be caused by
ill-motivated trades of unskilled or agency-prone fund managers who trade to increase their …

We investigate a proxy for monthly shifts between bond funds and equity funds in the USA:
aggregate net exchanges of equity funds. This measure (which is negatively related to …

This paper documents that mutual funds “herd”(trade together) into stocks with consensus
sell-side analyst upgrades, and herd out of stocks with consensus downgrades. This …