[HTML][HTML] Empirical asset pricing via machine learning: evidence from the European stock market
This paper evaluates the predictive performance of machine learning methods in forecasting
European stock returns. Compared to a linear benchmark model, interactions and nonlinear …
European stock returns. Compared to a linear benchmark model, interactions and nonlinear …
Predictability and the cross section of expected returns: evidence from the European stock market
This paper examines the cross-sectional properties of stock return forecasts based on Fama–
MacBeth regressions using all firms contained in the STOXX Europe 600 index during the …
MacBeth regressions using all firms contained in the STOXX Europe 600 index during the …
Dynamic Risk Allocation with Carry, Value and Momentum
B Gnedenko, I Yelnik - An amended version is in Journal of …, 2016 - papers.ssrn.com
According to recent research, diversification across risk factors (or investment styles) proves
to be more efficient than traditional asset class diversification. In this paper, we take the next …
to be more efficient than traditional asset class diversification. In this paper, we take the next …