Abstract In 1979, Daniel Kahneman and Amos Tversky, published a paper in Econometrica
titled “Prospect Theory: An Analysis of Decision under Risk.” The paper presented a new …

The rise of China and fivefold growth of its stock market over the past decade have fueled a
growing literature on this market in financial economics. On the corporate side, researchers …

We add to the emerging literature on empirical asset pricing in the Chinese stock market by
building and analyzing a comprehensive set of return prediction factors using various …

We empirically test the prediction of that green firms outperform brown firms when concerns
about climate change increase unexpectedly, using data for S&P 500 companies from …

We find that three factors—cryptocurrency market, size, and momentum—capture the cross
sectional expected cryptocurrency returns. We consider a comprehensive list of priceand …

Long short-term memory (LSTM) networks are a state-of-the-art technique for sequence
learning. They are less commonly applied to financial time series predictions, yet inherently …

We provide data and code that successfully reproduces nearly all cross-sectional stock
return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by …

Most anomalies fail to hold up to currently acceptable standards for empirical finance. With
microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 …

We propose a model selection method to systematically evaluate the contribution to asset
pricing of any new factor, above and beyond what a highdimensional set of existing factors …

We propose a nonparametric method to study which characteristics provide incremental
information for the cross-section of expected returns. We use the adaptive group LASSO to …