Search Results for: Aggregation Of Information About The Cross Section Of Stock Returns

We propose a new approach for estimating expected returns on individual stocks from a large number of firm characteristics. We treat expected returns as latent

My dissertation consists of three chapters that study various aspects of stock return predictability. In the first chapter, I explore the interplay between the

We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies tha

We examine how volatility risk, both at the aggregate market and individual stock level, is priced in the cross-section of expected stock returns. Stocks that h