Discussions and Notes

Discussions

Machine Learning and the Implementable Efficient Frontier*

• by Theis Jensen, Bryan Kelly, Semyon Malamud, and Lasse Pedersen

• AFA (San Antonio): January 2024

• *After discussing with Theis and Semyon I realized that the optimal strategy requires reinforcement learning, which is not as easy as saying "Tensorflow."

Big Data vs Post-Truth Finance

• for the panel session: "Stock Return Anomalies: the p-hacking Debate," with Avanidhar Subra, Amit Goyal, and Jeff Pontiff.

• FMA (Chicago): October 2023

• Replication code

The Factor Multiverse: The Role of Interest Rates in Factor Return Measurement and Discovery

• by Jules H. van Binsbergen, Liang Ma, and Michael Schwert

• CICF (Shanghai): July 2023

What Drives Momentum and Reversal? Evidence from Day and Night Signals

• by Yashar Barardehi, Vincent Bogousslavsky, and Dimitriy Muravyev

• WFA (San Francisco): June 2023

Missing Financial Data

• by Svetlana Bryzgalova, Martin Lettau, Sven Lerner, and Markus Pelger

• SFS Cavalcade (UT Austin): May 2023

Non-Standard Errors

• by Dreber, A., Menkveld, A. J., Holzmeister, F., Johannesson, M., Huber, J., Kirchler, M., ... & Lajaunie, Q. (a.k.a. #fincap)

• FIRS (Budapest): June 2022

Noisy Factors

• by Pat Akey, Adriana Z. Robertson, and Mikhail Simutin

• SFS Cavalcade (Chapel Hill): May 2022

• Replication code

Missing Data in Asset Pricing Panels 

• by Joachim Freyberger, Bjorn Hoppner, Andreas Neuhierl, and Michael Weber

• WSIR (Virtual): May 2022

• Discussion "co-authored" with Jack McCoy

Smart Beta Made Smart: Synthetic Risk Factors for Institutional and Retail Investors

• by Andreas Johansson, Riccardo Sabbatucci, and Andrea Tamoni

• MFA, March 2022

Intangible Capital in Factor Models 

• by Huseyin Gulen, Dongmei Li, Ryan H. Peters, and Morad Zekhnini

• CFEA, November 2021

Is There a Replication Crisis in Finance? 

• by Theis Ingerslev Jensen, Bryan T. Kelly, and Lasse Heje Pedersen

• CICF (Virtual), February 2021

Model Selection with Transaction Costs 

• by Andrew Detzel, Robert Novy-Marx, and Mihail Velikov

• FMA (Virtual), October 2020

Measuring Measurement Error 

• by Aaron Pancost and Garrett Schaller

• MFA (Virtual), August 2020

Procyclicality of the Comovement between Dividend Growth and Consumption Growth 

• by Nancy Xu

• MFA, February 2018

Policy Notes

The Stock Market–Real Economy "Disconnect": A Closer Look , with Markus Ibert and Francisco Vazquez-Grande, FEDS Note, 2020

• During Covid, the part of the stock market that "should be" connected was closely connected.

Financing Concerns in April 2020 Appear Worse Than in 2008 Based on Earnings Calls, with Jie Yang, Unpublished, 2021

• • Media Coverage: Bloomberg, LA Times

  • At the beginning of Covid, the share of firms discussing financing concerns spiked more than 6.5 standard deviations from the mean.

Has the Inflation Risk Premium Fallen?  Is It Now Negative?, with Eric Engstrom and Olesya Grishchenko.  FEDS Note, 2016

• In 2015, inflation compensation fell, perhaps because its correlation with stocks changed.