Publications

Elyasiani, Elyas, Oleg Rytchkov, and Ivan Stetsyuk, 2022, Do real estate mutual fund managers create value? Quarterly Review of Economics and Finance 86, 396-406

Chabakauri, Georgy and Oleg Rytchkov, 2021, Asset Pricing with Index Investing, Journal of Financial Economics 141, 195-216

Rytchkov, Oleg and Xun Zhong, 2020, Information Aggregation and P-hacking, Management Science 66, 1605-1626

Marmora, Paul and Oleg Rytchkov, 2018, Learning  about Noise, Journal of Banking and Finance 89, 209-224 

Light, Nathaniel, Denys Maslov,  and Oleg Rytchkov, 2017, Aggregation of Information  about the Cross Section of Stock Returns: A Latent  Variable Approach,  Review of Financial Studies 30, 1339-1381

Rytchkov, Oleg, 2016, Time-Varying Margin Requirements and Optimal  Portfolio Choice, Journal of Financial and  Quantitative Analysis 51, 655-683

Rytchkov, Oleg, 2014, Asset Pricing with Dynamic Margin Constraints,  Journal of Finance 69, 405-452

Rytchkov, Oleg, 2012, Filtering Out Expected Dividends and Expected Returns,  Quarterly Journal of Finance 2, 1250012 (56 pages)

Makarov, Igor and Oleg Rytchkov, 2012, Forecasting the Forecasts of Others: Implications for Asset Pricing, Journal of Economic Theory 147, 941-966

Rytchkov, Oleg, 2011, Size and Value Anomalies, in Len Zacks, ed.:  The Handbook of Equity Market Anomalies (Wiley)

Rytchkov, Oleg, 2010, Expected Returns on Value, Growth, and HML, Journal of Empirical Finance 17, 552-565

Working Papers

Macroeconomic Content of Characteristics-Based Asset Pricing Models: A Machine Learning Analysis  (with Xun Zhong)

Regularized Mimicking Portfolios (with Dan Luo and Xun Zhong)

Does the Macroeconomic Announcement Premium Exist? Evidence from Multiple Testing (with Ye Qian)